Option pricing: Valuation models and applications

• 成果类型: Review
• 署名作者: Broadie, M; Detemple, JB
• 署名单位: Columbia University; Boston University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1040.0275
• 发表日期: 2004
• 页码: 1145-1177
• 关键词: Option pricing; American options; risk-neutral valuation; jump and stochastic volatility models

摘要

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.