Journal of Economic Perspectives: Vol. 1 No. 2 (Fall 1987)


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Derivative Assets Analysis

Article Citation

Rubinstein, Mark. 1987. "Derivative Assets Analysis." Journal of Economic Perspectives, 1(2): 73-93.

DOI: 10.1257/jep.1.2.73


Derivative assets analysis enjoys an unusual status; it is a recently developed, relatively complex tool of economic analysis, faithful to the core of economic theory, and widely used to make real-life decisions. This paper, discusses derivative assets based on buy-and-hold strategies; derivative assets based on dynamic replicating strategies; valuing and replicating other derivative assets; and the Black-Scholes option pricing formula. Then it takes a detailed look at four applications: index futures, equity options, index options, and portfolio insurance.

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Rubinstein, Mark (Unlisted)

JEL Classifications

313: Capital Markets: Theory, Including Portfolio Selection, and Empirical Studies Illustrating Theory


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