ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

Mark Broadie () and Jerome Detemple
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Mark Broadie: Graduate School of Business, Columbia University, 3022 Broadway, New York, New York 10027-6902

Management Science, 2004, vol. 50, issue 9, 1145-1177

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 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (74)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177

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