Option pricing: A simplified approach

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)

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zbMATH Keywords

numerical methodCox-Ross-Rubinstein modelvaluation of optionsbinomial options pricing modelCRR

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cited In (only showing first 100 items - show all)

• 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
• Adaptive placement method on pricing arithmetic average options
• An exact and explicit solution for the valuation of American put options
• Option replication with transaction costs: general diffusion limits
• American options with stochastic dividends and volatility: a nonparametric investigation
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• A recombining lattice option pricing model that relaxes the assumption of lognormality
• Financial economics without probabilistic prior assumptions
• Dynkin's games and Israeli options
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Properties of multinomial lattices with cumulants for option pricing and hedging
• A portfolio-based evaluation of affine term structure models
• Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
• Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
• Pricing European and American options by radial basis point interpolation
• A quasi-radial basis functions method for American options pricing.
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Smooth convergence in the binomial model
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• Optimal delta-hedging under transactions costs
• Numerical analysis on binomial tree methods for a jump-diffusion model.
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Convergence of European lookback options with floating strike in the binomial model
• A deterministic-control-based approach to fully nonlinear parabolic and elliptic equations
• Efficient pricing of Bermudan options using recombining quadratures
• American option pricing with imprecise risk-neutral probabilities
• An adaptive averaging binomial method for option valuation
• THE ENTROPY THEORY OF BOND OPTION PRICING
• An efficient convergent lattice algorithm for European Asian options
• A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
• A framework for robust measurement of implied correlation
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• THE ENTROPY THEORY OF STOCK OPTION PRICING
• Power penalty method for a linear complementarity problem arising from American option valuation
• Optimal convergence rate of the explicit finite difference scheme for American option valuation
• A unified approach to portfolio optimization with linear transaction costs
• On the rate of convergence of the binomial tree scheme for American options
• New insights on testing the efficiency of methods of pricing and hedging American options
• Moment explosions in stochastic volatility models
• Fixed versus flexible production systems: A real options analysis
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• A moving boundary approach to American option pricing
• An explicit finite difference approach to the pricing of barrier options
• Binomial models for option valuation - examining and improving convergence
• 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

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