Concepedia

Option Pricing

Option Pricing is a theoretical framework within financial economics that determines the fair value of an option by modeling the stochastic behavior of underlying assets and incorporating risk-neutral valuation principles.

8.8K

Publications

641K

Citations

8.9K

Authors

2.7K

Institutions

Publications per year

2017–2026

1.2K

Variants

Options Pricing

Parents

Children

Publications

8.8K

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

, , +13

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

Option pricing: A simplified approach

John C. Cox, Stephen A. Ross, Mark Rubinstein · Journal of Financial Economics · 1979 · 6.2K citations

, , +13

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

, , +16

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 3.9K citations · Full text

, , +12

1–5 of 8.8K

Authors

8.9K

  1. PC
    Peter Carr

    New York University, United States

    81 publications · 13.5K citations

    43

    h-index

  2. DB
    Dilip B. Madan

    University of Maryland, College Park, United States

    75 publications · 13.8K citations

    37

    h-index

  3. KJ
    Kris Jacobs

    University of Houston, United States

    49 publications · 4.4K citations

    32

    h-index

  4. PC
    Peter Christoffersen

    University of Toronto, Canada

    50 publications · 4.4K citations

    31

    h-index

  5. ES
    Eduardo S. Schwartz

    University of California, Los Angeles, United States

    34 publications · 12.6K citations

    30

    h-index

1–5 of 8.9K

Institutions

2.7K

  1. New York University

    New York, United States

    61 h-index

    202 publications

    19.8K citations

  2. Columbia University

    New York, United States

    60 h-index

    159 publications

    21.5K citations

  3. National Bureau of Economic Research

    Cambridge, United States

    53 h-index

    175 publications

    19.1K citations

  4. University of Toronto

    Toronto, Canada

    50 h-index

    188 publications

    17.2K citations

  5. University of Maryland, College Park

    College Park, United States

    47 h-index

    113 publications

    19.4K citations

  6. Stanford University

    Stanford, United States

    45 h-index

    123 publications

    40.2K citations

  7. University of Chicago

    Chicago, United States

    45 h-index

    87 publications

    13.6K citations

  8. Cornell University

    Ithaca, United States

    44 h-index

    118 publications

    18.8K citations

1–8 of 2.7K

Venues

  1. The Journal of Finance

    358 publications · 93.9K citations

    151

    h-index

  2. Mathematical Finance

    274 publications · 29.8K citations

    91

    h-index

  3. SSRN Electronic Journal

    Repository · 1K publications · 36.7K citations

    84

    h-index

  4. Journal of Financial Economics

    130 publications · 42.1K citations

    83

    h-index

  5. Review of Financial Studies

    113 publications · 42.2K citations

    77

    h-index

1–5