ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
- 1 September 2004
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Management Science
- Vol. 50 (9) , 1145-1177
- https://doi.org/10.1287/mnsc.1040.0275
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.option pricing, American options, risk-neutral valuation, jump and stochastic volatility modelsKeywords
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