Option pricing-a simplified approach,Journal of Financial Economics (September 1979),JC Cox,SA Ross,M Rubinstein资料.pdfVIP

Option Pricing: A Simplified Approach† John C. Cox Massachusetts Institute of Technology and Stanford University Stephen A. Ross Yale University Mark Rubinstein University of Calif ornia, Berkeley March 1979 (revised July 1979) (published under the same title in Journal of Financial Economics (September 1979)) [1978 winner of the Pomeranze Prize of the Chicago Board Options Exchange] [reprinted in Dynamic Hedging: A Guide to Portf olio Insurance, edited by Don Luskin (John Wiley and Sons 1988)] [reprinted in The Handbook of Financial Engineering, edited by Cliff Smith and Charles Smithson (Harper and Row 1990)] [reprinted in Readings in Futures Markets published by the Chicago Board of Trade, Vol. VI (1991)] [reprinted in Vasicek and Beyond: App roaches to Building and App lying Interest Rate Models, edited by Risk Publications, Alan Brace (1996)] [reprinted in The Debt Market, edited by Stephen Ross and Franco Modigliani (Edward Lear Publishing 2000)] [reprinted in The International Library of Critical Writings in Financial Economics: Options Markets edited by G.M. Constantinides and A..G. Malliaris (Edward Lear Publishing 2000)] Abstract This pape r presents a simpl e discrete­time model f or valuing options. The f undamental economic pr incipl es of option pr icing by arbitrage methods are par ticularly clear in this setting. Its development requires o