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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- 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
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- VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEY
- Pricing Parisian down-and-in options
- Maxentropic construction of risk neutral measures: discrete market models
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- 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
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- 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'
- OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
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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.
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- 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
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