ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
Mark Broadie, Jerome B. Detemple
Management Science · 2004 · Volume 50 · Issue 9
Abstract
This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and developments in methodology and modeling.
Keywords
option pricing, American options, risk-neutral valuation, jump and stochastic volatility models
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