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The Valuation of Options for Alternative Stochastic Processes (1976)
by
John C. Cox
,
Stephen A. Ross
| Venue: | Journal of Financial Economics |
| Citations: | 677 - 5 self |
BibTeX
@ARTICLE{Cox76thevaluation,
author = {John C. Cox and Stephen A. Ross},
title = {The Valuation of Options for Alternative Stochastic Processes},
journal = {Journal of Financial Economics},
year = {1976},
pages = {145--166}
}
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Abstract
This paper examines the structure of option valuation problems and develops a new technique for their solution. It also introduces several jump and diffusion processes which have nol been used in previous models. The technique is applied lo these processes to find explicit option valuation formulas, and solutions to some previously unsolved problems involving the pricing ofsecurities with payouts and potential bankruptcy. 1.
