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Financial Derivatives Pricing:Selected Works of Robert Jarrow

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  • Robert A Jarrow

    (Cornell University, USA)

Abstract

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.

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Suggested Citation

  • Robert A Jarrow, 2008. "Financial Derivatives Pricing:Selected Works of Robert Jarrow," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6911, December.
    • Handle: RePEc:wsi:wsbook:6911
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