Fischer Black and Myron Scholes The Pricing Of Options And Corporate Liabilities 1973和年期权和公司负债的定价.pdf

The Pricing of Options and Corporate Liabilities Fischer Black University of Chicago Myron Scholes Ilfar\achusetts Institute o f Technology If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this principle, a theo- retical valuation formula for options is derived. Since almost all cor- porate liabilities can be viewed as combinations of options, the formula and the analysis that led to it are also applicable to corporate liabilities such as common stock, corporate bonds, and warrants. In particular, the formula can be used to derive the discount that should be applied to a corporate bond because of the possibility of default. Introduction An option is a security giving the right to buy or sell an asset, subject to certain conditions, within a specified period of time. An American option is one that can be exercised at any time up to the date the option expires. A European option is one that can be exercised only on a specified future date. The price that is paid for the asset when the option is exercised is called the exercise price or striking price. The last day on which the option may be exercised is called the expiration date or maturity date. The simplest kind of option is one that gives the right to buy a single share of common stock. Throughout most of the paper, we will be discuss- ing this kind of option, which is often referred to as a call option. Received ior publication