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
.
“Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options.”
Management Science
vol.
50
,
(September 01, 2004):
1222
-34
.