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ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

  • 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)

Registered author(s):

    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.

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    File URL: http://dx.doi.org/10.1287/mnsc.1040.0275
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    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 50 (2004)
    Issue (Month): 9 (September)
    Pages: 1145-1177

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    Handle: RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177
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