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Option pricing models

Published online by Cambridge University Press:  20 April 2012

D. Blake
D. Blake
Affiliation:
City University Business School, London
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Abstract

The paper discusses two important models of option pricing: the binomial model and the Black—Scholes model. It begins with a brief description of options.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 116 , Issue 3 , December 1989 , pp. 537 - 558
Copyright
Copyright © Institute and Faculty of Actuaries 1989

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References

Black, F. & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, May–June, 637–54.CrossRefGoogle Scholar
Cox, J., Ross, S. & Rubinstein, M. (1979). Option Pricing: A Simplified Approach. Journal of Financial Economics, September, 229–263.CrossRefGoogle Scholar
Fitzgerald, M. D. (1987). Financial Options. Euromoney Publications, London.Google Scholar
Stoll, H. R. (1969). The Relationship Between Put and Call Option Prices. Journal of Finance, December. 802–824.Google Scholar