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ArticleThe valuation of options for alternative stochastic processes

John C. Cox1976

Article1976

The valuation of options for alternative stochastic processes

John C. Cox · Stephen A. Ross

2,935 citations·0/0 files stored·Journal of Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1958The Cost of Capital, Corporation Finance and the Theory of Investment 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2008The cost of capital, corporation finance and the theory of investment 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1976The arbitrage theory of capital asset pricing 1976Option pricing when underlying stock returns are discontinuous

Cited by

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1979Option pricing: A simplified approach 1987The Pricing of Options on Assets with Stochastic Volatilities 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1981Martingales and stochastic integrals in the theory of continuous trading 1997Empirical Performance of Alternative Option Pricing Models

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1976A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORYarticle · 9 shared references 1976Option pricingarticle · 8 shared references 2010A Simple Robust Link Between American Puts and Credit Protectionarticle · 8 shared references 1976The option pricing model and the risk factor of stockarticle · 7 shared references 1977CONVERTIBLE BONDS: VALUATION AND OPTIMAL STRATEGIES FOR CALL AND CONVERSIONarticle · 7 shared references 1977AN EXAMINATION OF CORPORATE CALL POLICIES ON CONVERTIBLE SECURITIESarticle · 7 shared references

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Year1976

Typearticle

Published1976-01-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations2,935

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-405x(76)90023-4

openalex_workW1966119267

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1990Irreversibility, Uncertainty, and Investment

1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS