Option Pricing in Theory & Practice: The Nobel Prize Research of Robert C. MertonAbout this Art

Prelude to the Option Pricing Model

Bachelier, Louis. "Théorie de la Spéculation." Annales Science de l'Ecole Normale Supérieure, No.1018. Paris: Gauthier-Villars, 1900.

Itô, Kiyosi. "On Stochastic Differential Equations." Memoirs of the American Mathematical Society, no. 4. New York, N.Y.: American Mathematical Society, 1951. *

Samuelson, Paul A. Foundations of Economic Analysis. Cambridge, Mass.: Harvard University Press, 1947. *

Samuelson, Paul A. "Rational Theory of Warrant Pricing."Industrial Management Review6, no. 2 (spring 1965): 13-31.

* Available at another Harvard University Library, check HOLLIS.

The Formula

Black, Fischer, and Myron S. Scholes. "Capital Market Equilibrium and the Pricing of Corporate Liabilities." Financial Note No. 16C (privately circulated), 1971.

Black, Fischer, and Myron S. Scholes. "The Pricing of Options and Corporate Liabilities."Journal of Political Economy 81 (May/June 1973): 637-654.

Black, Fischer, and Myron S. Scholes. "The Valuation of Option Contracts and a Test of Market Efficiency."Journal of Finance 27 (May 1972): 399-418.

Merton, Robert C. "Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics." Ph.D. diss., MIT, 1970.

Merton, Robert C. "A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm." MIT Sloan School of Management Working Paper No. 497-70 (1970).**

Merton, Robert C. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4, no. 1 (spring 1973): 141-183.**

Merton, Robert C. "The Theory of Rational Option Pricing." MIT Sloan School of Management Working Paper No. 574-71 (October 1971).

Samuelson, Paul A., and Robert C. Merton. "A Complete Model of Warrant Pricing that Maximizes Utility." Industrial Management Review 10, no. 2 (winter 1969): 17-46.**

** Reprinted in Continuous-Time Finance, revised edition, by Robert C. Merton. Cambridge, Mass.: Basil Blackwell, 1992.

The Significance and Consequences of Financial Models

Anderson, James E. "Quotas as Options: Optimality and Quota License Pricing Under Uncertainty." Journal of International Economics 23, nos. 1-2 (August 1987): 21-39.

Arrow, Kenneth J. "Le rôle des valeurs boursières pour la répartition la meilleure des risques." Econometrie, Colloques Internationaux du Centre National de la Recherche Scientifique, vol. XI, Paris, (1953): 41-47.

Baldwin, Carliss. "Pricing Convertible Preferred Stock According to the Rational Option Pricing Theory." B.S. thesis, MIT, 1972.

Bernstein, Peter L. Against the Gods: The Remarkable Story of Risk. New York, N.Y.: John Wiley and Sons, 1996.

Bernstein, Peter L. Capital Ideas: The Improbable Origins of Modern Wall Street. New York, N.Y.: Free Press, 1992.

Bertsimas, Dimitris, Leonid Kogan, and Andrew W. Lo. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Arbitrage Approach." MIT Sloan School of Management Working Paper No. LFE-1027-97 (June 1997).

Black, Fischer. "How We Came Up with the Option Formula." Journal of Portfolio Management 15, no. 2 (winter 1989): 4-8.

Black, Fischer. "Interest Rates as Options." Journal of Finance 50, no. 5 (December 1995): 1371-1376.

Black, Fischer, and Myron S. Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81, no. 3 (May/June 1973): 637-654.

Black, Fischer, and Myron S. Scholes. "The Valuation of Option Contracts and a Test of Market Efficiency." Journal of Finance 27, no. 2 (May 1972): 399-418.

Bodie, Zvi. "What the Pension Benefit Guaranty Corporation Can Learn from the Federal Savings-and-Loan Insurance Corporation." Journal of Financial Services Research10, no. 1 (January 1996): 83-100.

Bodie, Zvi, and Robert C. Merton. Finance. Saddle River, N.J.: Prentice Hall, 1998.

Bodie, Zvi, and Robert C. Merton. "The Informational Role of Asset Prices: The Case of Implied Volatility." In The Global Financial System: A Functional Perspective, by Dwight B. Crane, Kenneth A. Froot, Scott P. Mason, André F. Perold, Robert C. Merton, Zvi Bodie, Erik R. Sirri, and Peter Tufano. Boston, Mass.: Harvard Business School Press, 1995.

Bodie, Zvi, Robert C. Merton, and William F. Samuelson. "Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model." Journal of Economic Dynamics and Control 16, nos. 3-4 (July/October 1992): 427-449.*

Bowman, Edward H., and Dileep Hurry. "Strategy Through the Option Lens: An Integrated View of Resource Investments and the Incremental-Choice Process." Academy of Management Review 18, no. 4 (October 1993): 760-782.

Breeden, Douglas T. "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities." Journal of Financial Economics 7, no. 3 (September 1979): 265-296.

Cootner, Paul H., ed. The Random Character of Stock Market Prices, revised edition. Cambridge, Mass.: MIT Press, 1967 (contains an English translation of "Théorie de la Spéculation," by Louis Bachelier, which was originally published in 1900).*

Cox, John C., and Stephen A. Ross. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics 3, nos. 1-2 (January/March 1976): 145-166.

Cox, John C., and Mark Rubinstein. Options Markets. Saddle River, N.J.: Prentice Hall, 1985.

Crane, Dwight B., Kenneth A. Froot, Scott P. Mason, André F. Perold, Robert C. Merton, Zvi Bodie, Erik R. Sirri, and Peter Tufano. The Global Financial System: A Functional Perspective. Boston, Mass.: Harvard Business School Press, 1995.

Cummins, J. David, and Hélyette Geman. "Pricing Catastrophe Insurance Futures and Call Spreads: An Arbitrage Approach." Journal of Fixed Income 4, no. 4 (March 1995): 46-57.

Dixit, Avinash K., and Robert S. Pindyck. Investment Under Uncertainty. Princeton, N.J.: Princeton University Press, 1994.

Föllmer, Hans, and Dieter Sondermann. "Hedging of Non-Redundant Contingent-Claims." In Contributions to Mathematical Economics, in Honor of Gérard Debreu, edited by Werner Hildenbrand and Andreau Mas-Colell. Amsterdam: North-Holland, 1986.

Jarrow, Robert A., and Andrew T. Rudd. Option Pricing. Homewood, Ill.: Richard D. Irwin, 1983.

Jin, Li, Leonid Kogan, Terence Lim, Jonathan Taylor, and Andrew W. Lo. "The Derivatives Sourcebook: A Bibliography of Applications of the Black-Scholes/Merton Option-Pricing Model." MIT Sloan School of Management Working Paper (1997).

Jones, E. Philip, Scott P. Mason, Eric E. Rosenfeld, and Lawrence Fisher. "Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation." Journal of Finance 39, no. 3 (July 1984): 611-625.

Kester, W. Carl. "Today's Options for Tomorrow's Growth." Harvard Business Review 62, no. 2 (March/April 1984): 153-160.

Majd, Saman, and Robert S. Pindyck. "Time to Build, Option Value, and Investment Decisions." Journalof Financial Economics 18, no. 1 (March 1987): 7-28.

Marsh, Terry A., and Takao Kobayashi. "The Work of Fischer Black, Robert Merton, and Myron Scholes, and its Continuing Legacy." Japanese Journal of Financial Economics 2 (January 1998): 4-24.

Merton, Robert C. "An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory." Journal of Banking and Finance 1, no. 1 (June 1977): 3-11.**

Merton, Robert C. " Applications of Option-Pricing Theory: Twenty-Five Years Later." Les Prix Nobel 1997. Stockholm: Nobel Foundation, 1998.

Merton, Robert C. "An Asymptomatic Theory of Growth Under Uncertainty."Review of Economic Studies 42 (July 1975).**

Merton, Robert C. "Capital Requirements in the Regulation of Financial Intermediaries: A Discussion." In Proceedings, The Regulation of Financial Institutions, Conference Series #21. Federal Reserve Bank of Boston, October 1979.

Merton, Robert C. "Capital Theory and the Pricing of Financial Securities." In Handbook of Monetary Economics, vol. 1, edited by Benjamin F. Friedman and Frank H. Hahn. New York, N.Y.: North-Holland, 1990.

Merton, Robert C. "The Changing Nature of Debt and Equity," discussion. In Are the Distinctions Between Debt and Equity Disappearing? Conference Series #33, edited by R. W. Kopeke and E. S. Rosengren. Federal Reserve Bank of Boston, 1990.

Merton, Robert C. Continuous-Time Finance, revised edition. Cambridge, Mass.: Basil Blackwell, 1992.

Merton, Robert C. "Continuous-Time Portfolio Theory and the Pricing of Contingent Claims." MIT Sloan School of Management Working Paper (November 1976).

Merton, Robert C. "Continuous-Time Speculative Processes," appendix. In Mathematical Topics in Economic Theory and Computation, edited by Richard H. Day and Stephen M. Robinson, Philadelphia, Penn.: Society for Industrial and Applied Mathematics, 1972.* [Reprinted in SIAM Review 15, no. 1 (January 1973): 34-38.]

Merton, Robert C. "Financial Economics." In Paul Samuelson and Modern Economic Theory, edited by E. Cary Brown and Robert M. Solow. New York, N.Y.: McGraw-Hill, 1983.*

Merton, Robert C. "Financial Innovation and Economic Performance." Journal of Applied Corporate Finance 4 (winter 1992): 12-22.

Merton, Robert C. "Financial Innovation and the Management and Regulation of Financial Institutions." Journal of Banking and Finance 19, nos. 3-4 (June 1995): 461-481.

Merton, Robert C. "The Financial System and Economic Performance." Journal of Financial Services Research 4 (December 1990).

Merton, Robert C. "A Functional Perspective of Financial Intermediation." Financial Management 24 (summer 1995).

Merton, Robert C. "Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions." Journal of Finance 29 (March 1974).

Merton, Robert C. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns." Journal of Finance 31, no. 2 (May 1976): 333-350.

Merton, Robert C. "Implicit Labor Contracts Viewed as Options: A Discussion of 'Insurance Aspects of Pensions'." In Pensions, Labor, and Individual Choice, edited by David A. Wise. Chicago, Ill.: Chicago University Press, 1985.

Merton, Robert C. "In Honor of Nobel Laureate, Franco Modigliani." Economic Perspectives 1 (Fall 1987).

Merton, Robert C. "Influence of Mathematical Models in Finance or Practice: Past, Present and Future." Philosophical Transactions of the Royal Society of London, Series A 347 (June 1994): 451-463. [Reprinted in Mathematical Models in Finance, edited by Sam Howison, Frank P. Kelly and Paul Wilmott. London: Chapman and Hall/Royal Society, 1995* and Financial Practice and Education 5 (spring/summer 1995): 7-15.]

Merton, Robert C. "An Intertemporal Capital Asset Pricing Model." Econometrica 41, no. 5 (September 1973): 867-887.**

Merton, Robert C. "Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case." Review of Economics and Statistics 51, no. 3 (August 1969): 247-257.**

Merton, Robert C. "A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries." European Finance Review 1, no. 1 (1997): 1-13.

Merton, Robert C. "Modelling the Institution," interview by Lillian Chew,Risk 7 (April 1994): 16-17.

Merton, Robert C. "On Consumption-Indexed Public Pension Plans." In Financial Aspects of the U.S. Pension System, edited by Zvi Bodie and John B. Shoven. Chicago, Ill.: University of Chicago Press, 1983.**

Merton, Robert C. "On Estimating the Expected Return on the Market: An Exploratory Investigation." Journal of Financial Economics 8 (December 1980).

Merton, Robert C. "On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts." In Journal of Business 54 (July 1981).

Merton, Robert C. "On the Application of Continuous-Time Theory of Fincance to Financial Intermediation and Insurance," Twelfth Annual Lecture of the Geneva Association. The Geneva Papers on Risk and Insurance (July 14, 1989).*

Merton, Robert C. "On the Cost of Deposit Insurance When There Are Surveillance Costs."Journal of Business 51 (July 1978).**

Merton, Robert C. "On the Current State of the Stock Market Rationality Hypothesis." In Macroeconomics and Finance: Essays in Honor of Franco Modigliani, edited by Rudiger Dornbusch, Stanley Fischer, and John Bossons. Cambridge, Mass.: MIT Press, 1987.

Merton, Robert C. "On the Mathematics and Economic Assumptions of Continuous-Time Financial Models." In Financial Economics: Essays in Honor of Paul Cootner, edited by William F. Sharpe and Cathryn M. Cootner. Englewood Cliffs, N.J.: Prentice Hall, 1982.**

Merton, Robert C. "On the Microeconomic Theory of Investment Under Uncertainty." In Handbook of Mathematical Economics, vol. 2, edited by Kenneth Arrow and Michael Intriligator. Amsterdam: North-Holland, 1982.

Merton, Robert C. "On the Pricing of Contingent Claims and the Modigliani-Miller Theorem." Journal of Financial Economics 5, no. 3 (November 1977): 241-249.

Merton, Robert C. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance 29, no. 2 (May 1974): 449-470.**

Merton, Robert C. "On the Role of Social Security As a Means for Efficient Risk-Bearing in an Economy Where Human Capital Is Not Tradeable." In Financial Aspects of the U.S. Pension System, edited by Zvi Bodie and John B. Shoven. Chicago, Ill.: University of Chicago Press, 1983.

Merton, Robert C. "On the Role of the Wiener Process in Finance Theory and Practice: The Case of Replicating Portfolios." In The Legacy of Norbert Wiener: A Centennial Symposium, PSPM Series, vol. 60, edited by David Jerison, I. M. Singer, and Daniel W. Stroock. Providence, R.I.: American Mathematical Society, 1997.

Merton, Robert C. "Operation and Regulation in Financial Intermediation: A Functional Perspective." In Operation and Regulation of Financial Markets, edited by Peter Englund. Stockholm: The Economic Council, 1993.

Merton, Robert C. "Optimal Investment Strategies for University Endowment Funds." In Studies of Supply and Demand in Higher Education, edited by Charles Clotfelter and Michael Rothschild. Chicago, Ill.: University of Chicago Press, 1993.*

Merton, Robert C. "Optimum Consumption and Portfolio Rules in a Continuous-Time Model." Journal of Economic Theory 3, no. 4 (December 1971): 373-413.**

Merton, Robert C. "Option Pricing When Underlying Stock Returns are Discontinuous." Journal of Financial Economics 3, nos. 1-2 (January/February 1976): 125-144.**

Merton, Robert C. "A Reexamination of the Capital Asset Pricing Model." In Risk and Return in Finance, edited by James L. Bicksler and Irwin Friend. Cambridge, Mass.: Ballinger, 1977.

Merton, Robert C. "The Relationship Between Put and call Option Prices: Comment." Journal of Finance 28 (March 1973).

Merton, Robert C. "A Simple Model of Capital Market Equilibrium With Incomplete Information." Journal of Finance 42 (July 1987).

Merton, Robert C. "Theory of Finance From the Perspective of Continuous Time." Journal of Financial and Quantitative Analysis 10 (November 1975).

Merton, Robert C. Foreword to Managing Derivative Risks: The Use and Abuse of Leverage, by Lillian Chew. New York, N.Y.: John Wiley and Sons, 1996.

Merton, Robert C. Foreword to Mathematics of Derivative Securities, edited by M. A. H. Dempster and S. Pliska. New York, N.Y.: Cambridge University Press, 1997.

Merton, Robert C., V. Bernard, and Krishna Palepu. "Market-to-Market Accounting for Banks and Thrifts: Lessons from the Danish Experience." Journal of Accounting Research 33, no. 1 (spring 1995).

Merton, Robert C., and Zvi Bodie. " A Conceptual Framework for Analyzing the Financial Environment." Harvard Business School Working Paper No. 95-062 (February 1995).

Merton, Robert C., and Zvi Bodie. " Deposit Insurance Reform: A Functional Approach." In Carnegie-Rochester Conference Series on Public Policy, vol. 38, edited by A. Meltzer and C. Plosser (June 1993).

Merton, Robert C., and Zvi Bodie. " Financial Infrastructure and Public Policy: A Functional Perspective." Harvard Business School Working Paper No. 95-064 (February 1995).

Merton, Robert C., and Zvi Bodie. " A Framework for Economic Analysis of Deposit Insurance and Other Guarantees." Harvard Business School Working Paper No. 92-063 (January 1992).

Merton, Robert C., and Zvi Bodie. " The Informational Role of Asset Prices: The Case of Implied Volatility." Harvard Business School Working Paper No. 95-063 (February 1995).

Merton, Robert C., and Zvi Bodie. " On the Management of Deposit Insurance and Other Guarantees." Harvard Business School Working Paper No. 92-081 (May 1992).

Merton, Robert C., and Zvi Bodie. "On the Management of Financial Guarantees." Financial Management 21, no. 4 (winter 1992): 87-109.

Merton, Robert C., and Zvi Bodie. "Pension Benefit Guarantees in the United States: A Functional Analysis." In The Future of Pensions in the United States,edited by Ray Schmitt. Philadelphia, Penn.: Pension Research Council/University of Pennsylvania, 1993.*

Merton, Robert C., and Zvi Bodie. " Pension Reform and Privatization in International Perspective: The Case of Israel." Harvard Business School Working Paper No. 92-082 (May 1992).

Merton, Robert C., Zvi Bodie, and A. J. Marcus. "Defined Benefit Versus Defined Contribution Pension Plans: What Are the Real Tradeoffs?" In Pensions in the U.S. Economy, edited by John B. Shoven and David A. Wise. Chicago, Ill.:University of Chicago Press, 1987.

Merton, Robert C., Zvi Bodie, and A. J. Marcus. "Pension Plan Integration as Insurance Against Social Security Risk." In Issues in Pension Economics, edited by John B. Shoven and David A. Wise. Chicago, Ill.: University of Chicago Press, 1987.

Merton, Robert C., and R. D. Henriksson. "On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills." In Journal of Business 54 (October 1981).

Merton, Robert C., and T. A. Marsh. "Aggregate Dividend Behavior and Its Implications for Tests of Stock Market Rationality." MIT Sloan School of Management Working Paper No. 1475-83 (September 1983).

Merton, Robert C., and T. A. Marsh. "Dividend Behavior for the Aggregate Stock Market." Journal of Business 60 (January 1987).

Merton, Robert C., and T. A. Marsh. "Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices." American Economic Review 76 (June 1986).

Merton, Robert C., and T. A. Marsh. "Earnings Variability and Variance Bounds Tests for the Rationality of Stock Market Prices." MIT Sloan School of Management Working Paper No. 1559-84 (April 1984).

Merton, Robert C., and Scott P. Mason. "Macroeconomics and Finance: The Role of the Stock Market." In Essays on Macroeconomic Implications of Financial and Labor Markets and Political Processes, vol. 21, edited by Karl Brunner and Allan H. Meltzer. Amsterdam: North-Holland, 1984.

Merton, Robert C., and Scott P. Mason. "The Role of Contingent Claims Analysis in Corporate Finance." In Recent Advances in Corporate Finance, by Edward I. Altman and Marti G. Subrahmanyam. Homewood, Ill.: Richard D. Irwin, 1985.

Merton, Robert C., Scott P. Mason, André F. Perold, and Peter Tufano. Cases in Financial Engineering: Applied Studies of Financial Innovation. Englewood Cliffs, N.J.: Prentice-Hall, 1995.

Merton, Robert C., and André F. Perold. "Management of Risk Capital in Financial Firms." In Financial Services: Perspectives and Challenges, edited by Samuel L. Hayes, III. Boston, Mass.: Harvard Business School Press, 1993.

Merton, Robert C., and André F. Perold. "Theory of Risk Capital in Financial Firms." Journal of Applied Corporate Finance 5 (fall 1993): 16-30.

Merton, Robert C., and Paul A. Samuelson. "Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making Over Many Periods." Journal of Financial Economics 1 (May 1974).

Merton, Robert C., and Myron S. Scholes. "Fischer Black." Journal of Finance 50 (December 1995): 1359-1370.

Merton, Robert C., Myron S. Scholes, and Matthew L. Gladstein. "The Returns and Risk of Alternative Call Option Portfolio Investment Strategies." Journal of Business 51, no. 2 (April 1978): 183-242.

Merton, Robert C., Myron S. Scholes, and Matthew L. Gladstein. "The Returns and Risks of Alternative Put Option Portfolio Investment Strategies." Journal of Business 55, no. 1 (January 1982): 1-55.

Merton, Robert C., and M. C. Subrahmanyam. "The Optimality of a Competitive Stock Market." Bell Journal of Economics and Management Science 5 (spring 1974).

Merton, Robert C., and Peter Tufano. "The Global Financial System Project." In Intellectual Venture Capital: Essays in Honor of Dean John H. McArthur, edited by Thomas K. McCraw. Boston, Mass.: Harvard Business School Press, 1998.

Merton, Samantha J. "Options Pricing in the Real World of Uncertainties: Educating Towards a Flexible Labor Force." B.A. thesis, Department of Economics, Harvard University (March 18, 1992).*

Miller, Merton H. Merton Miller on Derivatives. New York, N.Y.: John Wiley and Sons, 1997.

Modigliani, Franco. "Life Cycle, Individual Thrift and the Wealth of Nations." Les Prix Nobel 1985. Stockholm: Nobel Foundation, 1986.

Romano, Marc, and Nizar Touzi. "Contingent Claims and Market Completeness in a Stochastic Volatility Model." Mathematical Finance 7, no. 4 (October 1997): 399-412.

Rosenfeld, Eric. "Stochastic Processes of Common Stock Returns: An Empirical Examination."; Ph.D. diss., MIT Sloan School of Management, 1980.

Ross, Stephen A. "Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory 13, no. 3 (December 1976): 341-360.

Ross, Stephen A. "Options and Efficiency." Quarterly Journal of Economics 90, no. 1 (February 1976): 75-89.

Samuelson, Paul A. "Mathematics of Speculative Price." In Mathematical Topics in Economic Theory and Computation, edited by Richard H. Day and Stephen M. Robinson, Philadelphia, Penn.: Society for Industrial and Applied Mathematics, 1972.* [Reprinted in SIAM Review 15, no. 1 (January 1973): 1-42.]

Samuelson, Paul A. Foreword to Continuous-Time Finance, revised edition, by Robert C. Merton . Cambridge, Mass.: Basil Blackwell, 1992.

Scholes, Myron S. "Derivatives in a Dynamic Environment." Les Prix Nobel 1997. Stockholm: Nobel Foundation, 1998.

Scholes, Myron S. "Taxes and the Pricing of Options." Journal of Finance 31, no. 2 (May 1976): 319-332.

Scholes, Myron S., and Mark A. Wolfson. Taxes and Business Strategy: A Planning Approach. Saddle River, N.J.: Prentice-Hall, 1992.

Smith, Clifford W., Jr. "Option Pricing: A Review." Journal of Financial Economics 3, no. 1-2 (January/March 1976): 3-52.

Strook, Daniel W., and S. R. S. Varadhan, eds. Kiyosi Itô: Selected Papers. New York, N.Y.: Springer-Verlag, 1987.

Triantis, Alexander J., and James E. Hodder. "Valuing Flexibility as a Complex Option." Journal of Finance 45, no. 2 (June 1990): 549-565.

Trigeorgis, Lenos. "Real Options and Interactions with Financial Flexibility." Financial Management 22, no. 3 (Autumn 1993): 202-224.

Trigeorgis, Lenos. Real Options: Managerial Flexibility and Strategy in Resource Allocation. Cambridge, Mass.: MIT Press, 1996.

Wiggins, James B. "Option Values Under Stochastic Volatility: Theory and Empirical Estimates." Journal of Financial Economics 19, no. 2 (December 1987): 351-372.

* Available at another Harvard University Library, check HOLLIS. ** Reprinted in Continuous-Time Finance, revised edition, by Robert C. Merton. Cambridge, Mass.: Basil Blackwell, 1992.