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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- Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
- An efficient method for option pricing with discrete dividend payment
- A discrete time approach for modeling two-factor mean-reverting stochastic processes
- An Improved Binomial Lattice Method for Multi‐Dimensional Options
- A lattice algorithm for pricing moving average barrier options
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- Mean exit time and survival probability within the CTRW formalism
- Statistical regularities in the return intervals of volatility
- On infinite-horizon minimum-cost hedging under cone constraints
- Asymptotic filtering theory for multivariate ARCH models
- Fast binomial procedures for pricing Parisian/ParAsian options
- Call completeness implies completeness in the \(n\)-period model of a financial market
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
- Option valuation by using discrete singular convolution
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- A lattice approach for pricing of multivariate contingent claims
- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
- Pricing Parisian down-and-in options
- Maxentropic construction of risk neutral measures: discrete market models
- Searching for an optimal rotation age forest stand management under stochastic log prices
- A partial introduction to financial asset pricing theory.
- Toward A Convergence Theory For Continuous Stochastic Securities Market Models1
- An accurate binomial model for pricing American Asian option
- Pricing American Asian options with higher moments in the underlying distribution
- A spectral algorithm for pricing interest rate options
- A stochastic approximation algorithm for American lookback put options
- Weak convergence of equity derivatives pricing with default risk
- New fuzzy insurance pricing method for giga-investment project insurance
- Option pricing for infinite variance data
- Transaction costs and efficiency of portfolio strategies
- A fuzzy pay-off method for real option valuation
- Bounds for path-dependent options
- A mathematical model for the bond market.
- The optimal discretization of probability density functions
- On the use of semimartingales and stochastic integrals to model continuous trading
- DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
- Valuation of derivative securities involving several assets using discrete time methods
- Non-uniqueness of option prices
- A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
- Bounds for the price of a European-style Asian option in a binary tree model
- Volatility estimation for stochastic project value models
- Economic Valuation Models for Insurers
- Efficient solutions for discrete Asian options
- Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
- Fair valuation of equity-linked policies under insurer default risk
- An efficient computational algorithm for pricing European, barrier and American options
- A moments and strike matching binomial algorithm for pricing American put options
- A Black-Scholes Schrödinger option price: `bit' versus `qubit'
- 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
- A copula-based approach for generating lattices
- Convergence rate of free boundary of numerical scheme for American option
- Dynamic conic hedging for competitiveness
- Dynamic portfolio optimization with transaction costs and state-dependent drift
- Valuation of employee stock options using the exercise multiple approach and life tables
- An exact subexponential-time lattice algorithm for Asian options
- On pricing lookback options under the CEV process
- Convergence of barrier option prices in the binomial model
- Option pricing in a regime-switching model using the fast Fourier transform
- An explicit series approximation to the optimal exercise boundary of American put options
- European option pricing and hedging with both fixed and proportional transaction costs
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
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