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ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

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  • Mark Broadie

    (Graduate School of Business, Columbia University, 3022 Broadway, New York, New York 10027-6902)

  • Jerome B. Detemple

    (School of Management, Boston University, 595 Commonwealth Avenue, Boston, Massachusetts 02215)

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.

Suggested Citation

  • Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  • Handle: RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177
    DOI: 10.1287/mnsc.1040.0275
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