Journal of Financial Economics
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Опубликовано на портале: 03-10-2003
John C. Cox, Stephen A. Ross, Mark Rubinstein
Journal of Financial Economics.
1979.
Vol. 7.
No. 3.
P. 229-263.
This paper presents a simple discrete-time model for valuing options. The fundamental
economic principles of option pricing by arbitrage methods are particularly clear
in this setting. Its development requires only elementary mathematics, yet it contains
as a special limiting case the celebrated Black-Scholes model, which has previously
been derived only by much more difficult methods. The basic model readily lends itself
to generalization in many ways. Moreover, by its very construction, it gives rise
to a simple and efficient numerical procedure for valuing options for which premature
exercise may be optimal.
