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

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