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)
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- Valuing flexibility: An impulse control framework
- Limitations and improvements of standard spectral methods for pricing standard options
- Achieving higher order convergence for the prices of European options in binomial trees
- A multiperiod binomial model for pricing options in a vague world
- Microstructure models with short-term inertia and stochastic volatility
- A real options approach to project management
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Exotic European options with restrictions on the payoffs
- Pricing cliquet options by tree methods
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- Real options pricing by the finite element method
- Bounding contingent claim prices via hedging strategy with coherent risk measures
- A simple numerical method for pricing an American put option
- A discrete-time model of American put option in an uncertain environment.
- A discrete Itō calculus approach to He's framework for multi-factor discrete markets
- Regime-switching recombining tree for option pricing
- A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions
- Discrete-time continuous-state interest rate models
- A nonlinear partial differential equation for american options in the entire domain of the state variable
- Option prices under generalized pricing kernels
- Efficient pricing of discrete Asian options
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Pricing American barrier options with discrete dividends by binomial trees
- A European option general first-order error formula
- A generalization of the binomial distribution
- Endogenous model of surrender conditions in equity-linked life insurance
- A lattice method for option pricing with two underlying assets in the regime-switching model
- A multiobjective fuzzy stopping in a stochastic and fuzzy environment
- Some possible stock price distributions under incompleteness of the market
- Boundary evolution equations for American options
- OPTIMAL HARVESTING OF FOREST AGE CLASSES UNDER PRICE UNCERTAINTY AND RISK AVERSION
- Option pricing with regime switching by trinomial tree method
- Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
- Pricing equity-indexed annuities under stochastic interest rates using copulas
- Exercisability Randomization of the American Option
- Option convergence rate with geometric random walks approximations
- Achieving smooth asymptotics for the prices of European options in binomial trees
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering
- Option pricing under the Merton model of the short rate
- Two-dimensional risk-neutral valuation relationships for the pricing of options
- ARBITRAGE-FREE OPTION PRICING MODELS
- Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- On dynamic investment strategies
- Approximating stochastic volatility by recombinant trees
- Front-fixing FEMs for the pricing of American options based on a PML technique
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
- Convex analysis in financial mathematics
- Bivariate distributions with diatomic conditionals and stop-loss transforms of random sums
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
- On the construction and complexity of the bivariate lattice with stochastic interest rate models
- A new predictor-corrector scheme for valuing American puts
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- An improved simulation method for pricing high-dimensional American derivatives.
- Implied trees in illiquid markets: A Choquet pricing approach
- Computation of reservation prices of options with proportional transaction costs
- Using spectral element method to solve variational inequalities with applications in finance
- Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps
- Error estimates for binomial approximations of game options
- Discrete approximation of finite-horizon American-style options
- Radial basis functions method for valuing options: a multinomial tree approach
- Linear-time option pricing algorithms by combinatorics
- On accurate and provably efficient GARCH option pricing algorithms
- A comparison of lattice based option pricing models on the rate of convergence
- Pricing the American put option: A detailed convergence analysis for binomial models
- Statistical mechanics of nonlinear nonequilibrium financial markets: Applications to optimized trading
- Option bounds
- The scaling limit of superreplication prices with small transaction costs in the multivariate case
- Semi-parametric estimation of American option prices
- A comparison of fuzzy regression methods for the estimation of the implied volatility smile function
- A bounded risk strategy for a market with non-observable parameters.
- 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.
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