Article contents
Option pricing models
Published online by Cambridge University Press: 20 April 2012
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
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- Copyright
- Copyright © Institute and Faculty of Actuaries 1989
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
Stoll, H. R. (1969). The Relationship Between Put and Call Option Prices. Journal of Finance, December. 802–824.Google Scholar
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