ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications
AbstractThis 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.
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Bibliographic InfoArticle provided by INFORMS in its journal Management Science.
Volume (Year): 50 (2004)
Issue (Month): 9 (September)
option pricing; American options; risk-neutral valuation; jump and stochastic volatility models;
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- Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
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