@ARTICLE{19026425_1979,
author = {Cox, John C. and Ross, Stephen A. and Rubinstein, Mark},
keywords = {discrete-time model, option pricing models, valuation},
title = {Option pricing: A simplified approach},
journal = {Journal of Financial Economics},
year = {1979},
month = {},
volume = {7},
number = {3},
pages = {229-263},
url = {http://ecsocman.hse.ru/text/19026425/},
publisher = {},
language = {ru},
abstract = {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. },
annote = {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. }
}