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.
Full Citation
.
“Option Pricing: Valuation Models and Applications.”
Management Science
vol.
50
,
(January 01, 2004):
1145
-77
.