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F. Black and M. Scholes, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, No. 3, 1973, pp. 637-659. doi:10.1086/260062
has been cited by the following article:
TITLE: Can Bailout Improve the Economic Welfare? A Structural Derivation of the Option Price
AUTHORS: Masayuki Otaki
KEYWORDS: Option Pricing by a Game-Theoretic Approach; Moral Hazard by Limited Liability; Welfare Economics Concerning Bailout Policy
JOURNAL NAME: Theoretical Economics Letters, Vol.3 No.2, April 30, 2013
ABSTRACT: We developed a game-theoretic approach concerning the option pricing validity and tractability of which is ascertained by deriving the Black-Scholes formula. We also applied this approach to the welfare implications of the bailout policy. It is found that such a policy always worsens the economic welfare. This is because of the moral hazardous behavior of the buyer owing to the limited liability which is emphasized, for example, by Arrow [1] and Stiglitz and Weiss [2].
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