Monte Carlo methods for security pricing (Q1391435)

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Monte Carlo methods for security pricing
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    title
    Monte Carlo methods for security pricing (English)
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    author
    Phelim P. Boyle
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    Paul Glasserman
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    Mark N. Broadie
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    publication date
    22 July 1998
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    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    zbMATH DE Number
    1178019
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    zbMATH Keywords
    Monte Carlo simulation
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    quasi-Monte Carlo
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    option pricing
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    variance reduction
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    derivative estimation
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    cites work
    Q4369767
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    Q4158362
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    Algorithm 659
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    Q3723577
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    Q4000306
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    Filtered Monte Carlo
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    Q5732992
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    Q5622304
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    Q3779956
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    Q4004325
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    Q4749146
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    Q4003879
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    Q4352227
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    Q4856469
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    Q5287558
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    Q3141922
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    Q4840937
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