ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

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.

• 저널Management Science · 50(9) · 1145–1177
• 토픽Stochastic processes and financial applications · Finance
• DOI10.1287/mnsc.1040.0275
• 저자Mark Broadie, Jérôme Detemple