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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- 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
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- A simple iterative method for the valuation of American options
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- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
- Valuation of American partial barrier options
- Pricing American options with uncertain volatility through stochastic linear complementarity models
- Compact finite difference method for American option pricing
- INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
- HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- An analytic valuation method for multivariate contingent claims with regime-switching volatilities
- Option pricing with transaction costs using a Markov chain approximation
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