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)
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- OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
- The capital cost of holding inventory with stochastically mean-reverting purchase price
- A model for pricing real estate derivatives with stochastic interest rates
- CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
- Approximations and asymptotics of upper hedging prices in multinomial models
- A discrete-time algorithm for pricing double barrier options.
- Valuing employee reload options under the time vesting requirement
- CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
- Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm
- The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
- A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
- Pricing catastrophe options in discrete operational time
- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
- Option pricing for stable and infinitely divisible asset returns
- DG framework for pricing European options under one-factor stochastic volatility models
- Optimal hedging strategies in equity-linked products
- Convergence of the trinomial tree method for pricing European/American options
- Computation of Greeks using binomial trees in a jump-diffusion model
- Option Pricing For Jump Diffusions: Approximations and Their Interpretation
- American put options with a finite set of exercisable time epochs
- Bounds of the accuracy of the normal approximation to the distributions of random sums under relaxed moment conditions
- PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
- Book Review: Stochastic calculus for finance
- A General Benchmark Model for Stochastic Jump Sizes
- An algorithm for solving bond pricing problem.
- Pricing swing options in the electricity markets under regime-switching uncertainty
- Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
- Optimal voting rules for two-member tenure committees
- Pricing of perpetual American and Bermudan options by binomial tree method
- Exercise Regions And Efficient Valuation Of American Lookback Options
- Barrier option pricing: a hybrid method approach
- Pricing and hedging american options analytically: a perturbation method
- Diffusion approximations of the geometric Markov renewal processes and option price formulas
- Risk-adjusted martingales and the design of ``indifference gambles
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Quantile hedging for guaranteed minimum death benefits
- An extension of the Black-Scholes model of security valuation
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- Two Rationales Behind the ‘Buy-And-Hold or Sell-At-Once’ Strategy
- A network of options: evaluating complex interdependent decisions under uncertainty
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- On pricing arithmetic average reset options with multiple reset dates in a lattice framework
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
- A generalized complementarity approach to solving real option problems
- Convergence of the binomial tree method for Asian options in jump-diffusion models
- Price taking behavior and trading in options
- Hedging Equity-Linked Life Insurance Contracts
- Characteristic functions and option valuation in a Markov chain market
- Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
- Implied recovery
- Interest Rate Risk Management
- The geometric Markov renewal processes with application to finance
- Vector majorization and a robust option replacement trading strategy
- Utility based option evaluation with proportional transaction costs
- A binomial contingent claims model for valuing risky ventures
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
- A HODIE finite difference scheme for pricing American options
- Valuation of life insurance surrender and exchange options
- A modified binomial tree method for currency lookback options
- The prediction risk for the development of mortality -- can it be minimized by an appropriate portfolio composition?
- Default risk and derivative products
- Optimal stopping made easy
- Pricing real estate index options by compactly supported radial-polynomial basis point interpolation
- 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
- A fixed point method for the linear complementarity problem arising from American option pricing
- A Nonstandard Approach to Option Pricing
- Robust option pricing: Hannan and Blackwell meet Black and Scholes
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- The American put under transactions costs
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- A simple derivation of risk-neutral probability in the binomial option pricing model
- Martingales and stochastic integrals in the theory of continuous trading
- American stochastic volatility call option pricing: a lattice based approach
- Bivariate option pricing using dynamic copula models
- Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates
- Implied basket correlation dynamics
- Time (in)consistency and real options: much ado about nothing?
- Option pricing with Mellin transforms
- ARCH models as diffusion approximations
- Binomial valuation of lookback options
- Nonparametric estimation of American options' exercise boundaries and call prices
- Option pricing and replication with transaction costs and dividends
- Spanning, valuation and options
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