= John C. Cox
{c}
{wiki=John_Carrington_Cox}
<John C. Cox> developed mathematical methods for <option pricing> and <risk-neutral pricing>. With <Stephen A. Ross> and <Mark Rubinstein>, he introduced the <Cox--Ross--Rubinstein model>, whose <binomial price tree> gives a particularly transparent example of a <replicating portfolio>.<Option Pricing: A Simplified Approach by John C. Cox and others>[1979, author list and the one-period replication argument]{ref}
At each node, the two possible next-step payments determine the holdings in a stock and a riskless asset. Repeating this calculation by <backward induction> values the final payment through the tree. For an <American option>, the calculation also compares continuation value with the value of immediate exercise. This turns the distinction between European and American exercise rules into a concrete computational decision.<Option Pricing: A Simplified Approach by John C. Cox and others>[Multiperiod model and valuation of options permitting early exercise]{ref}
Institutional profile: https://mitsloan.mit.edu/faculty/directory/john-c-cox
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{title=Portrait of <John C. Cox>}
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{source=https://mitsloan.mit.edu/faculty/directory/john-c-cox}
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