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REFLECTIONS

Consistent Alpha Generation through Structure

, CFA
Pages 40-43 | Published online: 02 Jan 2019

References

  • Black, Fischer, and Myron Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, vol. 81, no. 3 (May/June): 637–659.
  • Fisher, Peter R.. 2002 Remarks of Under Secretary of the Treasury Peter R. Fisher to the Bond Buyer's Financial Innovations and Derivatives Conference, New York (7 June): http://www.treas.gov/press/releases/po3158.htm. .
  • Gross, William H.. 1979. “Coupon Valuation and Interest Rate Cycles.” Financial Analysts Journal, vol. 35, no. 4 (July/August): 68–71.
  • Merton, Robert C.. 1973. “The Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, vol. 4, no. 1 (Spring): 141–183.
  • Scholes, Myron S. . 1972. “The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices.” Journal of Business, vol. 45, no. 2 (April): 179–211.

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