Option pricing: A simplified approach
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Publication:5455556
DOI10.1016/0304-405X(79)90015-1zbMATH Open1131.91333WikidataQ56210585 ScholiaQ56210585MaRDI QIDQ5455556FDOQ5455556
Authors: John C. Cox, Stephen A. Ross, Mark Rubinstein 
Publication date: 3 April 2008
Published in: Journal of Financial Economics (Search for Journal in Brave)
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cited In (only showing first 100 items - show all)
- Efficient Pricing of Derivatives on Assets with Discrete Dividends
- On the no-arbitrage condition in option implied trees
- An approximate moving boundary method for American option pricing
- Pricing American-style securities using simulation
- Stochastic differential utility as the continuous-time limit of recursive utility
- On the computation of option prices and Greeks under the CEV model
- An inverse problem of determining the implied volatility in option pricing
- Numerical performance of penalty method for American option pricing
- An actuarial approach to option pricing under the physical measure and without market assumptions
- Products of trees for investment analysis
- Approximate valuation of average options
- Convergence of the Critical Price In the Approximation of American Options
- Parameter estimation and inference in dynamic systems described by linear partial differential equations
- The optimal harvesting problem under price uncertainty
- An upwind approach for an American and European option pricing model
- Option replication in discrete time with illiquidity
- Pricing American options written on two underlying assets
- Two-state volatility transition pricing and hedging of TXO options
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Quantum finance
- Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
- Investment under uncertainty: calculating the value function when the Bellman equation cannot be solved analytically
- The Markov Chain Market
- A closed-form solution to American options under general diffusion processes
- The concept of comonotonicity in actuarial science and finance: applications.
- Upper and lower I/O bounds for pebbling \(r\)-pyramids
- Upper and lower I/O bounds for pebbling \(r\)-pyramids
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
- The quintessential option pricing formula under Lévy processes
- A simplified treatment of the theory of optimal regulation of Brownian motion
- Analytic solution for American barrier options with two barriers
- Convergence analysis of a monotonic penalty method for American option pricing
- The method of fundamental solutions for solving options pricing models
- Error estimates for the binomial approximation of American put options
- Valuation of project portfolios: an endogenously discounted method
- Smooth pasting as rate of return equalization
- An improved method for pricing and hedging long dated American options
- A simple iterative method for the valuation of American options
- Option pricing by mathematical programming†
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
- Valuation of American partial barrier options
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Compact finite difference method for American option pricing
- INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
- HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- Option pricing with transaction costs using a Markov chain approximation
- Predictability and unpredictability in financial markets
- Real (investment) options with multiple sources of rare events
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- Monte Carlo algorithms for optimal stopping and statistical learning
- An introduction to general equilibrium with incomplete asset markets
- Analytical approximations for the critical stock prices of American options: a performance comparison
- Option valuation by a self-exciting threshold binomial model
- CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Nonexpansive maps and option pricing theory
- A tree approach to options pricing under regime-switching jump diffusion models
- On the option pricing for a generalization of the binomial model
- Contingent claims on assets with conversion costs.
- Default risk and derivative products
- A moments approach to option valuation models
- The solution of fuzzy linear systems by nonlinear programming: a financial application
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- A binomial model for valuing equity-linked policies embedding surrender options
- Project options valuation with net present value and decision tree analysis
- A real option approach for investment opportunity valuation
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- Investments in EOP-technologies and emissions trading - results from a linear programming approach and sensitivity analysis
- Binary tree pricing to convertible bonds with credit risk under stochastic interest rates
- Chapman-Kolmogorov lattice method for derivatives pricing
- LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
- Discrete-time bond and option pricing for jump-diffusion processes
- Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
- A robust finite difference scheme for pricing American put options with singularity-separating method
- Thoughts about selected models for the valuation of real options
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Calibrating volatility surfaces via relative-entropy minimization
- A lattice model for option pricing under GARCH-jump processes
- Application of kernel-based stochastic gradient algorithms to option pricing
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Decision analysis and real options: a discrete time approach to real option valuation
- A new well-posed algorithm to recover implied local volatility
- Qualitative threshold ARCH models
- Option Pricing in a Jump-Diffusion Model with Regime Switching
- Asymptotics of the price oscillations of a European call option in a tree model
- MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
- American option prices in a Markov chain market model
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- The pricing of lookback options and binomial approximation
- Bernstein's inequalities and their extensions for getting the Black-Scholes option pricing formula
- Option valuation with infinitely divisible distributions
- Asymptotic proportion of arbitrage points in fractional binary markets
- Weak convergence of random growth processes with applications to insurance
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization
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