Do option markets correctly price the probabilities of movement of the underlying asset?

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.1K citations

Option Pricing, Liability (Financial Accounting), Asset Pricing +11

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6K citations · Full text

Option Pricing, Asset Pricing, Derivative Pricing +3

The equity premium: A puzzle

Rajnish Mehra, Edward C. Prescott · Journal of Monetary Economics · 1985 · 5.7K citations

Empirical Finance, Financial Economics, Asset Pricing +4

Martingales and arbitrage in multiperiod securities markets

J. Michael Harrison, David M. Kreps · Journal of Economic Theory · 1979 · 3.7K citations

Multiperiod Securities Markets, Economics, Financial Economics +4

The valuation of options for alternative stochastic processes

John C. Cox, Stephen A. Ross · Journal of Financial Economics · 1976 · 3K citations

Option Pricing, Engineering, Asset Pricing +7