Digital contracts: Simple tools for pricing complex derivatives

Journal of Business

Volumn 73, Issue 1, 2000, Pages 67-88

  Ingersoll Jr , Jonathan E ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040777009     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/209632     Document Type: Article

References (9)

1. Black, F., and Scholes, M. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81 (May): 637-54.
2. Cox, J. C.; Ingersoll, J. E., Jr.; and Ross, S. A. 1985. An intertemporal general equilibrium model of asset process. Econometrica 53 (March): 363-84.
3. Cox, J. C., and Ross, S. A. 1976. The valuation of options for alternative stochastic processes. Journal of Financial Economics 3 (January-March): 145-66.
4. Ingersoll, J. E., Jr. 1977. A contingent-claims valuation of convertible securities. Journal of Financial Economics 4 (May): 289-321.
5. Ingersoll, J. E., Jr. 1998a. Approximating American options and other financial contracts using barrier derivatives. Journal of Computational Finance 2 (Fall): 85-112.
6. Ingersoll, J. E., Jr. 1998b. Valuation of derivative contracts using payoff event approximation. Working Paper. New Haven, Conn.: Yale School of Management.
7. Linetsky, V. 1996. Step options (the Feynman-Kac approach to occupation time derivatives). Working Paper (IOE technical report 96-18). Ann Arbor: University of Michigan.
8. Linetsky, V. 1998. Steps to the barrier. Risk 11 (April): 62-65.
9. Merton, R. C. 1973. Theory of rational option pricing. Bell Journal of Economics and Management Science 4 (Spring): 141-83.