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.
Broadie, Mark, and Jerome Detemple. "Option Pricing: Valuation Models and Applications." Management Science 50, no. 9 (2004): 1145-77.
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