Mark N. Broadie

Available identifiers

zbMath Open broadie.mark-nMaRDI QIDQ802143

List of research outcomes

Publication	Date of Publication	Type
Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization	2022-06-30	Paper
Tractable Sampling Strategies for Ordinal Optimization	2020-11-08	Paper
Numerical solutions to dynamic portfolio problems with upper bounds	2018-10-10	Paper
HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS	2016-06-22	Paper
Risk Estimation via Regression	2016-03-22	Paper
Multidimensional stochastic approximation	2015-03-05	Paper
General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm	2012-03-26	Paper
Application of the Fast Gauss Transform to Option Pricing	2012-02-19	Paper
Efficient Risk Estimation via Nested Sequential Simulation	2011-08-09	Paper
MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS	2011-06-20	Paper
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes	2009-08-13	Paper
A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options	2009-07-18	Paper
THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS	2009-04-21	Paper
Improved lower and upper bound algorithms for pricing American options by simulation	2009-02-23	Paper
https://portal.mardi4nfdi.de/entity/Q2724691	2003-07-13	Paper
https://portal.mardi4nfdi.de/entity/Q2771104	2002-08-25	Paper
A Continuity Correction for Discrete Barrier Options	2001-03-29	Paper
Nonparametric estimation of American options' exercise boundaries and call prices	2000-10-26	Paper
American options with stochastic dividends and volatility: a nonparametric investigation	2000-03-19	Paper
Connecting discrete and continuous path-dependent options	1999-09-14	Paper
https://portal.mardi4nfdi.de/entity/Q4241870	1999-07-19	Paper
https://portal.mardi4nfdi.de/entity/Q4356580	1998-11-01	Paper
Monte Carlo methods for security pricing	1998-07-22	Paper
Pricing American-style securities using simulation	1998-07-22	Paper
https://portal.mardi4nfdi.de/entity/Q4369767	1998-01-12	Paper
Estimating Security Price Derivatives Using Simulation	1997-11-12	Paper
The Valuation of American Options on Multiple Assets	1997-09-18	Paper
Computing efficient frontiers using estimated parameters	1994-01-26	Paper
A variable rate refining triangulation	1987-01-01	Paper
A theorem about antiprisms	1985-01-01	Paper
An introduction to the octahedral algorithm for the computation of economic equilibria	1985-01-01	Paper
A note on triangulating the 5-cube	1984-01-01	Paper

Research outcomes over time

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