Trading options before Black-Scholes: a study of the market in late-seventeenth-century London

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Trading options before Black-Scholes: a study of the market in late-seventeenth-century London

Please use this identifier to cite or link to this item: http://hdl.handle.net/10036/14718

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Title: Trading options before Black-Scholes: a study of the market in late-seventeenth-century London
Author: Murphy, Anne L
Citation: The Economic History Review, Volume 62, pp.8–30, August 2009
Publisher: Wiley-Blackwell Publishing
Journal: The Economic History Review
Date Issued: 2007-11-26
URI: http://hdl.handle.net/10036/14718
DOI: 10.1111/j.1468-0289.2008.00454.x
Links: http://www.blackwell-synergy.com/loi/EHR
Abstract: This article uses data from the ledgers of the financial broker Charles Blunt to explore the market in equity options that emerged in London during the stock market boom of the early 1690s. Blunt’s ledgers provide a unique opportunity to observe the workings of an early modern derivatives market. They reveal a broadly based and highly active trade in options. The market functioned well, determined value using agreed criteria, and was utilised by a diverse range of individuals to facilitate both risk-seeking and risk-averse investment strategies.
Type: Article
Description: Accepted for publication in the Economic History Review in 2007.
Keywords: optionsstock marketinvestment
ISSN: 0013-0117
Funders/Sponsor: ESRC grant numbers PTA-030-2002-00367 and PTA-026-27-0997


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