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A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets
16 references·1 citing·31 second hop
A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets (2007)A Synthesis of Binomial Option Pricing Mo…Pricing Derivatives on Financial Securities Subject to Credit Risk (2008)Pricing Derivatives on Financ…The rate of convergence of the binomial tree scheme (2003)The rate of convergence of th…The adaptive mesh model: a new approach to efficient option pricing (1999)The adaptive mesh model: a ne…The exercise and valuation of executive stock options (1998)The exercise and valuation of…Recent Advances in Numerical Methods for Pricing Derivative Securities (1997)Recent Advances in Numerical …Binomial models for option valuation - examining and improving convergence (1996)Binomial models for option va…A modified lattice approach to option pricing (1993)A modified lattice approach t…The Accelerated Binomial Option Pricing Model (1991)The Accelerated Binomial Opti…A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments (1991)A Log-Transformed Binomial Nu…Convergence from Discrete- to Continuous-Time Contingent Claims Prices (1990)Convergence from Discrete- to…Efficient Discrete Time Jump Process Models in Option Pricing (1988)Efficient Discrete Time Jump …A Lattice Framework for Option Pricing with Two State Variables (1988)A Lattice Framework for Optio…Two-State Option Pricing (1979)Two-State Option PricingOption pricing: A simplified approach (1979)Option pricing: A simplified …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Corporate Social Responsibility: A Real Options Approach to the Challenge of Financial Sustainability (2015)Corporate Social Responsibili…The Value of Waiting to Invest (1982)Collaborative Ventures and Value of Learning: Integrating the Transaction Cost and Strategic Option Perspectives on the Choice of Market Entry Modes (1996)Manufacturing flexibility and real options: A review (2001)Martingales and stochastic integrals in the theory of continuous trading (1981)A flexible binomial option pricing model (1999)On the Rate of Convergence of Discrete‐Time Contingent Claims (2000)Universal option valuation using quadrature methods (2003)Numerical solution of stochastic differential equations (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Martingales and arbitrage in multiperiod securities markets (1979)Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach (1999)The American Put Option Valued Analytically (1984)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options with Default Risk (1987)Numerical Evaluation of Multivariate Contingent Claims (1989)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Option Prices as Predictors of Equilibrium Stock Prices (1982)Urban Land Prices Under Uncertainty (1985)Randomization and the American Put (1998)PDE methods for pricing barrier options (2000)Option pricing with regime switching by trinomial tree method (2009)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Market valuation of employee stock options (1996)Executive Compensation as an Agency Problem (2003)Industry Tournament Incentives (2017)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1988A Lattice Framework for Option Pricing with Two State Variables473 cited
  • 1979Two-State Option Pricing470 cited
  • 1998The exercise and valuation of executive stock options436 cited
  • 1999The adaptive mesh model: a new approach to efficient option pricing222 cited
  • 1991A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments199 cited
  • 1996Binomial models for option valuation - examining and improving convergence173 cited
  • 1990Convergence from Discrete- to Continuous-Time Contingent Claims Prices169 cited
  • 1993A modified lattice approach to option pricing141 cited
  • 1991The Accelerated Binomial Option Pricing Model117 cited
  • 2008Pricing Derivatives on Financial Securities Subject to Credit Risk86 cited
  • 2003The rate of convergence of the binomial tree scheme71 cited
  • 1997Recent Advances in Numerical Methods for Pricing Derivative Securities60 cited
  • 1988

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Efficient Discrete Time Jump Process Models in Option Pricing
53 cited

Cited by

  • 2015Corporate Social Responsibility: A Real Options Approach to the Challenge of Financial Sustainability28 cited