Pricing American-style securities using simulation (Q1391436): Difference between revisions

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-Mark N. Broadie
@@ Property / author: Mark N. Broadie / rank @@
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+Mark N. Broadie
@@ Property / author: Mark N. Broadie / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS<sup>1</sup>
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+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
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@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
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+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Insights on the Effect of Land Use Choice: The Perpetual Option on the Best of Two Underlying Assets
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@@ Property / cites work @@
+Q4039795
@@ Property / cites work: Q4039795 / rank @@
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@@ Property / cites work @@
+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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@@ Property / cites work @@
+Quasi-Monte Carlo Methods in Numerical Finance
@@ Property / cites work: Quasi-Monte Carlo Methods in Numerical Finance / rank @@
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@@ Property / cites work @@
+Multinomial Approximating Models for Options with k State Variables
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+Investment and the Valuation of Firms When There is an Option to Shut Down
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@@ Property / cites work @@
+Q4856469
@@ Property / cites work: Q4856469 / rank @@
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+Monte Carlo Variance of Scrambled Net Quadrature
@@ Property / cites work: Monte Carlo Variance of Scrambled Net Quadrature / rank @@
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+Algorithm AS 195: Multivariate Normal Probabilities with Error Bound
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+Constructing Optimal Samples from a Binomial Lattice
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@@ links / mardi / name / links / mardi / name @@
+Publication:1391436