Mark Broadie

Option Pricing: Valuation Models and Applications

Coauthor(s): Jerome Detemple.

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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.

Source: Management Science
Exact Citation:
Broadie, Mark, and Jerome Detemple. "Option Pricing: Valuation Models and Applications." Management Science 50, no. 9 (2004): 1145-77.
Volume: 50
Number: 9
Pages: 1145-77
Date: 2004