Publications

November 2016 (Revised November 2016)
Supplement

The Galaxy Dividend Income Growth Fund's Option Investment Strategies

By: W. Carl Kester

Keywords: Options; Option Contract; Option Pricing; Derivatives; Mutual Funds; Call Options; Put Options; Stock Options; Risk and Uncertainty; Volatility; Financial Services Industry; United States

January 2008
Background Note

Index Options

By: Joshua Coval and Erik Stafford

The goal of this simulation is to understand the patterns in index option prices that are not predicted by the Black-Scholes model. In particular, the simulation focuses on two properties of options prices. First, at-the-money implied volatilities from index options... View Details

Keywords: Volatility; Stock Options; Investment; Price; Profit; Risk Management; Mathematical Methods

March 1973
Article

The Relationship between Put and Call Option Prices: Comment

By: Robert C. Merton

Keywords: Price; Stocks

Find at Harvard

September 1997 (Revised February 2000)
Exercise

Exercises in Option Pricing and Real Option Analysis

By: Benjamin C. Esty

Contains five problems, one each on basic option pricing, abandonment value, the value of waiting to invest, contingent claims analysis (equity as a call option), and strategic decision making in an option framework. The goal is for students to recognize option value... View Details

Keywords: Stock Options; Price

March 1995 (Revised August 1995)
Background Note

Options and Put-Call Parity

By: Andre F. Perold and Wai Lee

Illustrates the payoff structure of various positions involving put and call options and the use of put-call parity in understanding the relationships among various positions. Examines the cases of insured equity, interest rate caps and floors, callable and extendable... View Details

Keywords: Stock Options

April 1978
Article

The Returns and Risk of Alternative Call Option Portfolio Investment Strategies

By: Robert C. Merton, Myron S. Scholes and Matthew L. Gladstein

Keywords: Risk and Uncertainty; Investment; Strategy

Find at Harvard

Fast Answer

Bloomberg: options

How do I find options information in Bloomberg? Type a company ticker and select OMON (Option Monitor) to view a complete list of currently active options. In the Options Monitor display, View Details

May 2005 (Revised February 2006)
Background Note

Introduction to Interest Rate Options

Introduces interest rate derivatives, covering floors, caps, and swaptions. Introduces floors, caps, and swaps by analogy to equity puts, calls, and stocks. As with calls and puts on equity, a put-call parity relationship is shown to exist between caps, floors, and... View Details

Keywords: Interest Rates

19 May 2003
Research & Ideas

Expensing Options Won’t Hurt High Tech

Business Review piece argued that options are an expense, plain and simple, and should be accounted for in that way. In this excerpt, the authors address what they call a fallacy: that expensing View Details

Keywords: by Zvi Bodie, Robert S. Kaplan & Robert C. Merton

09 May 2000
Research & Ideas

Stock Options Are Not All Created Equal

achieve its business goals. While option plans can take many forms, I find it useful to divide them into three types. The first two—what I call fixed value plans and fixed number plans—extend over several... View Details

Keywords: by Brian Hall

Forthcoming
Article

Calling All Issuers: The Market for Debt Monitoring

By: Huaizhi Chen, Lauren Cohen and Weiling Liu

95% of long-term municipal bonds have callable features, and yet we find new evidence of a substantial fraction of local governments exercising these valuable options sub-optimally, with significant delays – resulting in sizable losses. Using data from 2001 to 2019, we... View Details

Keywords: Bonds; Financial Institutions; Governing Rules, Regulations, and Reforms; Government Administration; Financing and Loans

17 Sep 2001
Research & Ideas

Let Customers Call the Shots

opportunity to opt out of the relationship is foolish. In the context of consumer empowerment, making it easy for the consumer to opt out gives a consumer a useful outside option that is an additional mark of control and negotiation... View Details

Keywords: by Martha Lagace

Web

Cold Calling - Christensen Center for Teaching & Learning

cold call, depending on pedagogical objectives and the nature of the case. Options include: Non-expert: An instructor may call on a student with less expertise in the subject matter to prevent the discussion... View Details

January 2013 (Revised April 2017)
Supplement

Maxum Petroleum, Inc.

By: W. Carl Kester

Maxum seeks an oil-price hedging strategy that yields substantial cash during oil price spikes, is affordable under ordinary circumstances, and is easily managed. It is striving to avoid a repeat of the challenging situation encountered in 2008 when spiking oil prices... View Details

Keywords: Hedging; Options; Commodities; Credit Derivatives and Swaps; Risk Management; Futures and Commodity Futures; Financial Strategy; Volatility

23 Mar 2015
Research & Ideas

It’s Called ‘Price Coherence,’ and It’s Surprisingly Bad for Consumers

restaurant versus on Grubhub.com, or paying cash versus using a credit card. In many cases, consumers pay the same price for a given product or service, whether buying it directly from its source or through an intermediary. Economists View Details

Keywords: by Carmen Nobel; Retail; Air Transportation; Food & Beverage; Entertainment & Recreation

2019
Working Paper

Design Rules, Volume 2: How Technology Shapes Organizations: Chapter 13 Platform Systems vs. Step Processes—The Value of Options and the Power of Modularity

By: Carliss Y. Baldwin

This is the first chapter in Part 3. Its purpose is to contrast the value structure of platform systems with step processes from a technological perspective. I first review the basic technical architecture of computers and argue that every computer is inherently a... View Details

Keywords: Platform Systems; Step Processes; Computer Architecture; Modularity; Information Technology; Digital Platforms

SSRN

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September 2014 (Revised March 2015)
Case

Fast Ion Battery

By: Ramana Nanda, Robert F. White and Stephanie Puzio

John Davidson, a partner at Ware Street Capital (WSC) and a board member at Fast Ion Battery, had just received a phone call from Don Lerner at Bluelock Ventures telling him that Bluelock would not participate in the $5M bridge financing for Fast Ion Battery. Lerner's... View Details

Keywords: Entrepreneurial Finance; Real Options; Term Sheets; Clean Technology; Entrepreneurship; Venture Capital

Web

Bibliography - Option Pricing in Theory & Practice: The Nobel Prize Research of Robert C. Merton - Exhibits - Historical Collections

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... View Details

2012
Working Paper

Modularity and Organizations

By: Carliss Y. Baldwin

Modularity describes the degree to which a complex system can be broken apart into subunits (modules) that can be recombined in various ways. Modularity is important for organizations and the economy because the boundaries of organizational units and corporations are... View Details

Keywords: Complex Systems; Information Hiding; Loosely-coupled Systems; Mirroring; Mirroring Hypothesis; Modules; Modularity; Near-decomposable Systems; Product Architecture; Option Value; Organizational Design; Complexity