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Two-State Option Pricing

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1973Theory of Rational Option Pricing8,060 cited
1979Option pricing: A simplified approach6,103 cited

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1991A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments199 cited
1996Binomial models for option valuation - examining and improving convergence173 cited
1980The Pricing of Options on Debt Securities173 cited
1985Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach172 cited
1990Convergence from Discrete- to Continuous-Time Contingent Claims Prices169 cited
2008Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures150 cited
2002Decision Making Under Uncertainty—Real Options to the Rescue?

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139 cited

2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives127 cited

2005Real Options Valuation of U.S. Federal Renewable Energy Research, Development, \nDemonstration, and Deployment123 cited

1991The Accelerated Binomial Option Pricing Model117 cited

1988Option Bounds with Finite Revision Opportunities92 cited