| Article ID: | iaor20073750 |
| Country: | United States |
| Volume: | 50 |
| Issue: | 9 |
| Start Page Number: | 1145 |
| End Page Number: | 1177 |
| Publication Date: | Sep 2004 |
| Journal: | Management Science |
| Authors: | Broadie Mark, Detemple Jerome B. |
| Keywords: | option pricing |
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.