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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- 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
- 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
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