Filed Pursuant to Rule 424(b)(5)
                                                Registration No.: 333-121067

PRICING SUPPLEMENT No. 4
to Prospectus Supplement dated May 18, 2005
to Prospectus Supplement dated May 18, 2005
and Prospectus dated May 18, 2005

                               2,765,671 YEELDS(R)
                          LEHMAN BROTHERS HOLDINGS INC.
                           MEDIUM-TERM NOTES, SERIES H

      24.25% Yield Enhanced Equity Linked Debt Securities Due April 5, 2006
          Performance Linked to Corning Incorporated (GLW) Common Stock

     Because these notes are part of a series of Lehman Brothers Holdings' debt
     securities called Medium-Term Notes, Series H, this pricing supplement and
     the accompanying prospectus supplement, dated May 18, 2005 (the "YEELDS
     prospectus supplement") should also be read with the accompanying
     prospectus supplement, dated May 18, 2005 (the "MTN prospectus supplement")
     and the accompanying prospectus dated May 18, 2005 (the "base prospectus").
     Terms used here have the meanings given them in the YEELDS prospectus
     supplement, the MTN prospectus supplement or the base prospectus, unless
     the context requires otherwise.


     o    INDEX STOCK ISSUER: Corning Incorporated. Corning Incorporated is not
          involved in this offering and has no obligation with respect to the
          notes.

     o    INDEX STOCK: The common stock of the index stock issuer.

     o    STATED MATURITY DATE: April 5, 2006, subject to postponement if a
          market disruption event occurs on the valuation date.

     o    VALUATION DATE: March 29, 2006, subject to postponement if a market
          disruption event occurs, as described under the caption "Description
          of the Notes-Settlement value" on page SS-12 of the YEELDS prospectus
          supplement.

     o    DETERMINATION PERIOD: Five business days.

     o    COUPON RATE: 24.25% per annum.

     o    COUPON PAYMENT DATES: January 5 and April 5, 2006.

     o    COUPON RECORD DATES: 15 calendar days prior to each coupon payment
          date.

     o    PRINCIPAL AMOUNT: $18.0788 per YEELDS and, in the aggregate,
          $50,000,012.87.

     o    LISTING: The YEELDS will not be listed on any exchange.

     o    EQUITY CAP PRICE: $18.0788, which represents 100% of the initial
          value. BECAUSE THE EQUITY CAP PRICE IS EQUAL TO THE INITIAL VALUE, YOU
          WILL NEVER RECEIVE MORE THAN THE PRINCIPAL AMOUNT PER NOTE ON THE
          STATED MATURITY DATE; YOU MAY RECEIVE LESS.

     o    INITIAL VALUE: $18.0788, which is the average execution price per
          share for the index stock that an affiliate of Lehman Brothers
          Holdings paid to hedge Lehman Brothers Holdings' obligations under the
          notes.

     o    DENOMINATIONS: $18.0788 and integral multiples thereof.

     o    PAYMENT AT MATURITY: On the stated maturity date, Lehman Brothers
          Holdings will pay you in cash, per YEELDS, the lesser of:

          (1)   the alternative redemption amount; and

          (2)   $18.0788

          Because the principal amount is equal to the initial value, the
          alternative redemption amount per YEELDS will equal the settlement
          value.

          The settlement value will be based upon the adjusted closing price of
          the index stock on the valuation date, and shall generally be equal to
          the adjusted closing price multiplied by the multiplier, as described
          beginning on page PS-2 of this pricing supplement under "Settlement
          Value Based Upon Adjusted Closing Price".

     o    STOCK SETTLEMENT OPTION: Yes, at the option of Lehman Brothers
          Holdings at maturity, as described under the caption "Description of
          the Notes-Stock settlement" on page SS-16 of the YEELDS prospectus
          supplement. Lehman Brothers Holdings will provide the trustee with not
          less than 15 calendar days' prior written notice if it elects the
          stock settlement option.

  Investing in the notes involves risks. Risk Factors begin on page SS-6 of the
                          YEELDS prospectus supplement.

Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of these securities or determined if this
pricing supplement, any accompanying YEELDS prospectus supplement or any
accompanying prospectus is truthful or complete. Any representation to the
contrary is a criminal offense.

                             ----------------------

                                                  Per YEELDS        Total
                                                 ------------  ----------------
 Public offering price..........................   $18.0788    $50,000,012.87
 Underwriting discount..........................   $ 0.0452    $   125,008.33
 Proceeds to Lehman Brothers Holdings...........   $18.0336    $49,875,014.54

                          ----------------------

Lehman Brothers Holdings has granted the underwriter an option to purchase,
within 13 days of the original issuance, up to an additional 414,850 YEELDS on
the same terms and conditions set forth above solely to cover over-allotments,
if any.

                             ----------------------

The notes are expected to be ready for delivery in book-entry form only through
The Depository Trust Company on or about October 5, 2005.

                             ----------------------

                                 LEHMAN BROTHERS

September 28, 2005
"YEELDS" is a registered trademark of Lehman Brothers Inc.






                  SETTLEMENT VALUE BASED UPON ADJUSTED CLOSING PRICE


Notwithstanding the statement in the YEELDS prospectus supplement in the first
sentence under "Description of Notes--Settlement value" that the settlement
value will be based upon the closing price of the index stock, in the case of
the YEELDS offered hereby, the settlement value will be based upon the adjusted
closing price of the index stock on the valuation date, and shall generally be
equal to such adjusted closing price multiplied by the multiplier then in
effect. Adjustments to the closing price will occur, as described below, if
Corning Incorporated pays dividends on its shares of common stock during the
term of the YEELDS.

The adjusted closing price of Corning Incorporated common stock on any scheduled
trading day will equal the closing price of such common stock on such scheduled
trading day, plus the dividend adjustment amount (which may be a negative
number) in effect on such scheduled trading day. The dividend adjustment amount
shall initially be zero.

The "base dividend" shall be $0.00, the amount of the quarterly dividend per
share of common stock most recently paid by Corning Incorporated prior to the
date of this pricing supplement, subject to adjustment in the event of certain
events affecting the shares of common stock of Corning Incorporated such as
share splits, reverse share splits or reclassifications, as determined by the
calculation agent, in its good faith judgment. If the calculation agent
determines in its sole and absolute discretion that Corning Incorporated has
failed to declare or make a quarterly dividend payment, the effective adjustment
date for adjusting the dividend adjustment amount will be the first business day
immediately following December 29, 2005 and the valuation date, as applicable.

If, during the period from, but excluding, the date of this pricing supplement
to the valuation date, holders of record of Corning Incorporated common stock
are entitled to receive a cash dividend (other than an extraordinary cash
dividend, as determined by the calculation agent in its good faith judgment)
from Corning Incorporated, the dividend adjustment amount then in effect shall
be increased on the effective adjustment date by an amount equal to the new
dividend. Any such upward adjustment to the dividend adjustment amount may
increase the amount you receive upon maturity.

The dividend adjustment amount in effect at any time shall be adjusted in the
event of certain events affecting the shares of common stock of Corning
Incorporated, such as share splits, reverse share splits or reclassifications,
as determined by the calculation agent, in its good faith judgment.

You may call Lehman Brothers Inc. at 212-526-0905 to obtain the current value of
the dividend adjustment amount.


                                      PS-2






                     EXAMPLES OF AMOUNT PAYABLE AT MATURITY


Here are three examples of the amount that may be payable on the stated maturity
date. In each of these examples it is assumed that Corning Incorporated does not
pay quarterly cash dividends on its shares of common stock during the term of
the YEELDS.

EXAMPLE 1. ASSUMING THE SETTLEMENT VALUE IS $15.00:

As a result, because the settlement value of $15.00 is less than $18.0788, on
the stated maturity date, you would receive $15.00 per YEELDS, plus accrued but
unpaid coupon payments.

In the case of stock settlement in this example, you would receive on the stated
maturity date a number of shares of the index stock and cash having a value on
the valuation date equal to $15.00 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date, if you
held one YEELDS, one share of index stock, plus accrued but unpaid coupon
payments.

EXAMPLE 2.  ASSUMING THE SETTLEMENT VALUE IS $20.00:

As a result, because $18.0788 is less than the settlement value of $20.00, on
the stated maturity date, you would receive $18.0788 per YEELDS, plus accrued
but unpaid coupon payments. Because the equity cap price is equal to the initial
value of the notes, you will never receive more than the principal amount per
note on the stated maturity date.

In the case of stock settlement in this example, you would receive on the stated
maturity date a number of shares of the index stock and cash having a value on
the valuation date equal to $18.0788 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date, if you
held one YEELDS, $18.07 in cash, plus accrued but unpaid coupon payments. To the
extent that you hold more than one YEELDS, the calculations of cash payments in
lieu of fractional shares would be made on an aggregate, rather than on a per
YEELDS basis. For example, if you held 2,765,671 YEELDS, you would receive on
the stated maturity date, in total, 2,500,000 shares of index stock and $12.87
in cash, plus accrued but unpaid coupon payments.

EXAMPLE 3.  ASSUMING THE SETTLEMENT VALUE IS $25.00:

As a result, because $18.0788 is less than the settlement value of $25.00, on
the stated maturity date, you would receive $18.0788 per YEELDS, plus accrued
but unpaid coupon payments. Because the equity cap price is equal to the initial
value of the notes, you will never receive more than the principal amount per
note on the stated maturity date.

In the case of stock settlement in this example, you would receive on the stated
maturity date a number of shares of the index stock and cash having a value on
the valuation date equal to $18.0788 per YEELDS, plus accrued but unpaid coupon
payments. Accordingly, you would receive on the stated maturity date, if you
held one YEELDS, $18.07 in cash, plus accrued but unpaid coupon payments. To the
extent that you hold more than one YEELDS, the calculations of cash payments in
lieu of fractional shares would be made on an aggregate, rather than on a per
YEELDS basis. For example, if you held 2,765,671 YEELDS, you would receive on
the stated maturity date, in total, 2,000,000 shares of index stock and $12.87
in cash, plus accrued but unpaid coupon payments.

To the extent the actual settlement value differs from the values assumed above
or that Corning Incorporated begins to pay quarterly cash dividends, the results
indicated above would be different.

                                      PS-3






                       INDEX STOCK ISSUER AND INDEX STOCK


CORNING INCORPORATED

Lehman Brothers Holdings has obtained the following information regarding
Corning Incorporated from Corning Incorporated's reports filed with the SEC.

Corning Incorporated is a global, technology-based corporation that operates in
four reportable business segments: Display Technologies, Telecommunications,
Environmental Technologies and Life Sciences.

Corning Incorporated's Display Technologies segment manufactures glass
substrates for active matrix liquid crystal displays (LCDs), which are used
primarily in notebook computers, flat panel desktop monitors, and LCD
televisions. The Telecommunications segment produces optical fiber and cable,
and hardware and equipment products for the worldwide telecommunications
industry. Corning Incorporated's environmental products include ceramic
technologies and solutions for emissions and pollution control in mobile and
stationary applications around the world, including gasoline and diesel
substrate and filter products. Life Sciences laboratory products include
microplate products, coated slides, filter plates for genomics sample
preparation, plastic cell culture dishes, flasks, cryogenic vials, roller
bottles, mass cell culture products, liquid handling instruments, Pyrex(R) glass
beakers, pipettors, serological pipettes, centrifuge tubes and laboratory
filtration products.

Other products made by Corning include semiconductor optics, ophthalmic glass
and plastic products, technical products, such as polarizing glass, glass for
high temperature applications and machinable glass ceramic products.
Semiconductor optics manufactured by Corning include: high-performance optical
material products; optical-based metrology instruments; and optical assemblies
for applications in the global semiconductor industry.

The index stock is registered under the Securities Exchange Act of 1934.
Companies with securities registered under that Act are required to file
periodically certain financial and other information specified by the SEC.
Information provided to or filed with the SEC can be inspected and copied at the
public reference facilities maintained by the SEC or through the SEC's website
described under "Where You Can Find More Information" on page 58 of the
accompanying base prospectus. In addition, information regarding the index stock
issuer may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents.

HISTORICAL INFORMATION ABOUT THE INDEX STOCK

The shares of common stock of Corning Incorporated are quoted on The New York
Stock Exchange under the symbol "GLW".

The following table presents the high and low closing prices for the shares of
common stock of Corning Incorporated, as reported on The New York Stock Exchange
during each fiscal quarter in 2002, 2003, 2004 and 2005 (through the date of
this pricing supplement), and the closing price at the end of each quarter in
2002, 2003, 2004 and 2005 (through the date of this pricing supplement).

It is impossible to predict whether the price of the index stock will rise or
fall. The historical prices of the index stock are not indications of future
performance. Lehman Brothers Holdings cannot assure you that the prices of the
index stock will remain at, or increase above, the initial value; accordingly,
there can be no assurance that the payment you receive at maturity will equal or
exceed the principal amount. The historical prices below have been adjusted to
reflect any stock splits or reverse stock splits.

All information in the table that follows was obtained from Bloomberg L.P.,
without independent verification.




                                      PS-4










                                                        HIGH                    LOW                PERIOD END
                                                    --------------        ----------------    --------------------

2002
   First Quarter...............................        $10.70                 $6.25                  $7.62
   Second Quarter..............................          7.78                  3.15                   3.55
   Third Quarter...............................          4.12                  1.46                   1.60
   Fourth Quarter..............................          4.99                  1.10                   3.31

2003
   First Quarter ..............................         $6.25                 $3.75                  $5.84
   Second Quarter..............................          8.02                  5.42                   7.39
   Third Quarter...............................         10.00                  7.26                   9.42
   Fourth Quarter..............................         12.01                  9.35                  10.43

2004
   First Quarter ..............................        $13.78                $10.27                 $11.18
   Second Quarter..............................         13.06                 10.20                  13.06
   Third Quarter...............................         12.69                  9.55                  11.08
   Fourth Quarter..............................         12.85                 10.21                  11.77

2005
   First Quarter ..............................        $12.23                $10.74                 $11.13
   Second Quarter .............................         16.84                 11.10                  16.62
   Third Quarter (through the date of
     this pricing supplement)............               21.74                 16.50                  18.13




                                      PS-5






                              HYPOTHETICAL RETURNS

The table below illustrates, for a range of hypothetical settlement values on
the valuation date, in each case assuming that (a) the investment is held from
the date on which the YEELDS are first issued until the stated maturity date and
(b) Corning Incorporated does not pay dividends on its shares of common stock
during the term of the YEELDS:

o    the percentage change from the issue price to the hypothetical settlement
     value on the valuation date;

o    the total coupon payments paid or payable on or before the stated maturity
     date per YEELDS;

o    the hypothetical total amount payable per YEELDS on the stated maturity
     date;

o    the hypothetical total annualized yield on the YEELDS on the stated
     maturity date; and

o    the hypothetical total annualized yield from direct ownership of the index
     stock.




                        PERCENTAGE        TOTAL COUPON
                      CHANGE FROM THE   PAYMENTS PAID OR                             HYPOTHETICAL
                      ISSUE PRICE TO      PAYABLE ON OR       HYPOTHETICAL         TOTAL ANNUALIZED      HYPOTHETICAL
   HYPOTHETICAL      THE HYPOTHETICAL      BEFORE THE        AMOUNT PAYABLE          YIELD ON THE      TOTAL ANNUALIZED
 SETTLEMENT VALUE    SETTLEMENT VALUE    STATED MATURITY     PER YEELDS ON           NOTES ON THE          YIELD FROM
 ON THE VALUATION    ON THE VALUATION         DATE             THE STATED           STATED MATURITY     DIRECT OWNERSHIP
       DATE                DATE            PER YEELDS       MATURITY DATE (1)     DATE PER YEELDS (2)  OF INDEX STOCK (3)
------------------   -----------------  -----------------  -------------------   --------------------- ------------------

      $7.2315               -60%             $2.1921            $7.2315                 -74.6%               -84.0%
      10.8473               -40               2.1921            10.8473                 -49.3                -64.0
      14.4630               -20               2.1921            14.4630                 -15.6                -36.0
      16.2709               -10               2.1921            16.2709                   4.4                -19.0
      18.0788                 0               2.1921            18.0788                  26.5                  0.0
      19.8867                10               2.1921            18.0788                  26.5                 21.0
      21.6946                20               2.1921            18.0788                  26.5                 44.0
      25.3103                40               2.1921            18.0788                  26.5                 96.0
      28.9261                60               2.1921            18.0788                  26.5                156.0
      32.5418                80               2.1921            18.0788                  26.5                224.0
      36.1576               100               2.1921            18.0788                  26.5                300.0


-----------------------

(1)  Excludes accrued but unpaid coupon payments payable on the stated maturity
     date.
(2)  The hypothetical total annualized yield on the stated maturity date
     represents the coupon rate per year used in determining the present values,
     discounted to the original issue date (computed on the basis of a 360-day
     year of twelve 30-day months compounded annually), of all payments made or
     to be made on the YEELDS, including the amount payable on the stated
     maturity date and all coupon payments through the stated maturity date, the
     sum of these present values being equal to the original issue price.
(3)  Assumes that Corning Incorporated does not pay any cash dividends on its
     shares of common stock during the term of the notes.

The above figures are for purposes of illustration only. The actual amount
received by investors and the resulting total and pre-tax rates of return will
depend entirely on the actual settlement value determined by the calculation
agent. In particular, the actual settlement value could be lower or higher than
those reflected in the table.

You should compare the features of the YEELDS to other available investments
before deciding to purchase the YEELDS. Due to the uncertainty concerning the
settlement value on the valuation date, the return on investment with respect to
the YEELDS may be higher or lower than the return available on other securities
issued by Lehman Brothers Holdings or by others. You should reach an investment
decision only after carefully considering the suitability of the YEELDS in light
of your particular circumstances.



                                      PS-6




                        SUPPLEMENTAL PLAN OF DISTRIBUTION


Lehman Brothers Holdings has agreed to sell to Lehman Brothers Inc. and Lehman
Brothers Inc. has agreed to purchase, all of the YEELDS at the price indicated
on the cover of this pricing supplement.

Lehman Brothers Holdings has agreed to indemnify Lehman Brothers Inc. against
liabilities, including liabilities under the Securities Act of 1933, as amended,
or to contribute to payments that Lehman Brothers Inc. may be required to make
relating to these liabilities as described in the MTN prospectus supplement and
the base prospectus.

Lehman Brothers Inc. will offer the YEELDS initially at a public offering price
equal to the issue price set forth on the cover of this pricing supplement.
After the initial public offering, the public offering price may from time to
time be varied by Lehman Brothers Inc.

Lehman Brothers Holdings has granted to Lehman Brothers Inc. an option to
purchase, at any time within 13 days of the original issuance of the YEELDS, up
to 414,850 additional YEELDS solely to cover over-allotments. To the extent that
the option is exercised, Lehman Brothers Inc. will be committed, subject to
certain conditions, to purchase the additional YEELDS. If this option is
exercised in full, the total public offering price, the underwriting discount
and proceeds to Lehman Brothers Holdings would be approximately $57,500,003,
$143,760 and $57,356,243, respectively.

Lehman Brothers Holdings expects to deliver the YEELDS against payment on or
about October 5, 2005, which is the fifth business day following the date of
this pricing supplement.

Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally
are required to settle in three business days, unless the parties to any such
trade expressly agree otherwise. Accordingly, if any purchaser wishes to trade
the YEELDS on the date of this pricing supplement, it will be required, by
virtue of the fact that the YEELDS initially will settle on the fifth business
day following the date of this pricing supplement, to specify an alternate
settlement cycle at the time of any such trade to prevent a failed settlement.

An affiliate of Lehman Brothers Holdings has entered into a swap transaction in
connection with the YEELDS and has received customary compensation for that
transaction.

                                      PS-7




                               2,765,671 YEELDS(R)


                          LEHMAN BROTHERS HOLDINGS INC.
                           MEDIUM-TERM NOTES, SERIES H


      24.25% YIELD ENHANCED EQUITY LINKED DEBT SECURITIES DUE APRIL 5, 2006
          PERFORMANCE LINKED TO CORNING INCORPORATED (GLW) COMMON STOCK



                             ----------------------


                               PRICING SUPPLEMENT
                               SEPTEMBER 28, 2005

                        (INCLUDING PROSPECTUS SUPPLEMENT
                               DATED MAY 18, 2005,

                              PROSPECTUS SUPPLEMENT
                             DATED MAY 18, 2005 AND

                                   PROSPECTUS
                               DATED MAY 18, 2005)

                             ----------------------


                                 LEHMAN BROTHERS