References
- Bachelier, L., Théorie de la Spéculation. Annales Scientiques de l’Ecole Normale Superieure, 1900, 3(17), 21–86. doi: 10.24033/asens.476
- Bakshi, G. and Kapadia, N., Delta-hedged gains and the negative market volatility risk premium. Rev. Financial Stud., 2003, 16, 527–566. doi: 10.1093/rfs/hhg002
- Black, F., The pricing of commodity contracts. J. Financ. Econ., 1976, 3, 167–179. doi: 10.1016/0304-405X(76)90024-6
- Black, F. and Scholes, M., The valuation of option contracts and a test of market efficiency. J. Finance, 1972, 27, 399–417. doi: 10.2307/2978484
- Black, F. and Scholes, M., The pricing of options and corporate liabilities. J. Political Economy, 1973, 81, 637–659. doi: 10.1086/260062
- Brenner, M. and Subrahmanyam, M., A simple formula to compute the implied standard deviation. Financ. Anal. J., 1988, 44, 80–83. doi: 10.2469/faj.v44.n5.80
- Bronzin, V., Theorie der Pramiengeschafte, 1908 (Verlag Franz Deticke: Leipzig und Wien).
- Callon, M. (Ed.), The Laws of the Markets, 1998 (Blackwell: Oxford).
- Carr, P. and Lee, R., Realized volatility and variance: Options via Swaps. RISK, 2007, 20, 76–83.
- Carr, P. and Wu, L., Variance risk premiums. Rev. Financ. Stud., 2009, 22, 1311–1341. doi: 10.1093/rfs/hhn038
- Castelli, C., The Theory of “Options” in Stocks and Shares, 1877 (F. Mathieson: London).
- Cox, J. C., Ross, S. A. and Rubinstein, M., Option pricing: A simplified approach. J. Financ. Econ., 1979, 7, 229–263. doi: 10.1016/0304-405X(79)90015-1
- de la Vega, J. Confusion de Confusiones; reprinted in M. Fridson (ed.) (1996), 1688.
- de Pinto, I. An Essay on Circulation of Currency and Credit in Four Parts and a Letter on the Jealousy of Commerce, translated with annotations by S. Baggs (1774), London; reprinted by Gregg International Publishers (1969), 1771.
- Faulhaber, G. R. and Baumol, W. J., Economists as innovators: Practical products of theoretical research. J. Econ. Lit., 1988, 26, 577–600.
- Gelderblom, O. and Jonker, J., Amsterdam as the cradle of modern futures and options trading. In The Origins of Value: The Financial Innovations that Created Modern Capital Markets, edited by N. Goetzmann and K.G Rouwenhorst, pp. 1550–1650, 2005 (Oxford University Press: New York).
- Goetzmann, W. N., Money Changes Everything: How Finance Made Civilization Possible, 2016 (Princeton University: New York).
- Green, T. C. and Figlewski, S., Market risk and model risk for a financial institution writing options. J. Finance, 1999, 54, 1465–1499. doi: 10.1111/0022-1082.00152
- Hafner, W. and Zimmermann, H., Amazing Discovery: Vincenz Bronzin’s option pricing models. J. Banking Finance, 2007, 31, 531–546. doi: 10.1016/j.jbankfin.2006.07.003
- Hafner, W. and Zimmermann, H., Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal, 2009 (Springer Verlag: Berlin).
- Harrison, P. The economic effects of innovation, regulation, and reputation on derivatives trading: Some historical analysis of early 18th century stock markets, mimeo, 2003. Available at http://icf.som.yale.edu/pdf/hist_conference/Paul_Harrison.pdf.
- Haug, E., The history of option pricing and hedging. In Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal, edited by W. Hafner and H. Zimmermann, pp. 471–486, 2009 (Springer Verlag: Berlin).
- Haug, E. and Taleb, N. N., Option traders Use (very) sophisticated Heuristics, never the Black–Scholes–Merton formula. J. Econ. Behav. Organiz., 2011, 77, 97–106. doi: 10.1016/j.jebo.2010.09.013
- Higgins, L., The Put-and-Call, 1896 (Effingham Wilson: London).
- Houghton, J. A Collection for Improvement of Husbandry and Trade, 1692–1703 (Taylor, Hindmarsh, Clavell, Rogers and Brown: London); reprinted by Gregg International Publishers (1969).
- Kairys, J. P. and Valerio, N., The market for equity options in the 1870s. J. Finance, 1997, 52, 1707–1723. doi: 10.1111/j.1540-6261.1997.tb01128.x
- Knoll, M., The ancient roots of modern financial innovation: The early history of regulatory arbitrage. Oregon. Law. Rev., 2008, 87, 93–116.
- Lefèvre, H., Physiologie et Mécanique Sociales. J. des Actuaires Français, 1873, 2, 211–250 and 351–388.
- Lipton, A., Money changes everything: How finance made civilization possible (book review). Quant. Finance, 2017, 17, 1319–1322. doi: 10.1080/14697688.2017.1351660
- MacKenzie, D. and Millo, Y., Constructing a market, performing theory: The historical sociology of a financial derivatives exchange. AJS, 2003, 109, 107–145.
- Marco, P. N. and Van Malle-Sabouret, C., East India bonds, 1718–1763: Early exotic derivatives and London market efficiency. Eur. Rev. Econ. Hist., 2007, 11, 367–394. doi: 10.1017/S1361491607002055
- Merton, R. C., Theory of rational option pricing. Bell J. Econ. Manage. Sci. (The RAND Corporation), 1973, 4, 141–183. doi: 10.2307/3003143
- Merton, R. C., On the pricing of corporate debt: The risk structure of interest rates. J. Finance, 1974, 29, 449–470.
- Mixon, S., The crisis of 1873: Perspectives from multiple asset classes. J. Econ. Hist., 2008, 68, 722–757. doi: 10.1017/S0022050708000624
- Mixon, S., Option markets and implied volatility: Past versus present. J. Financ. Econ., 2009, 94, 171–191. doi: 10.1016/j.jfineco.2008.09.010
- Moore, L. and Juh, S., Derivative pricing 60 years before Black–scholes: Evidence from the Johannesburg stock exchange. J. Finance, 2006, 61, 3069–3098. doi: 10.1111/j.1540-6261.2006.01012.x
- Moser, J., Die Lehre von den Zeitgeschäften, 1875 (Julius Springer: Berlin).
- Murphy, A. L., Trading options before Black-Scholes: A study of the market in late seventeenth century London. Econ. Hist. Review, 2009, 62, 8–30. doi: 10.1111/j.1468-0289.2008.00454.x
- Nelson, S. A., The A B C of Options and Arbitrage, 1904 (The Wall Street Library: New York).
- Petram, L. O. The world’s first stock exchange: How the Amsterdam market for Dutch East India Company shares became a modern securities market, 1602-1700. PhD Thesis, University of Amsterdam, 2011.
- Poitras, G., The early history of option contracts. In Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal, edited by W. Hafner and H. Zimmermann, pp. 487–518, 2009 (Springer Verlag: Berlin).
- Schachermayer, W. and Teichmann, J., How close are the option pricing formulas of Bachelier and Black-Merton-Scholes? Math. Finance, 2008, 18, 155–170. doi: 10.1111/j.1467-9965.2007.00326.x
- Sotiropoulos, D. and Rutterford, J., Performativity and financial markets: Option pricing in the late 19th century. Working Paper, Innovation, Knowledge and Development Research Centre, 2014, The Open University.
- Stoll, H., The relationship between put and call prices. J. Finance, 1969, 24, 801–824. doi: 10.1111/j.1540-6261.1969.tb01694.x
- Szpiro, G. C., Pricing the Future: Finance, Physics, and the 300-Year Journey to the Black-Scholes Equation, 2011 (Basic Books: New York, NY).
- Weber, E. J., A short history of derivative security markets. In Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal, edited by W. Hafner and H. Zimmermann, pp. 431–466, 2009 (Springer Verlag: Berlin).
- Zimmermann, H., An early structured product: Illustrative pricing of repeat contracts. In Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal, edited by W. Hafner and H. Zimmermann, pp. 547–559, 2009 (Springer Verlag: Berlin).