Pricing American-style securities using simulation

DOI10.1016/S0165-1889(97)00029-8zbMath0901.90009MaRDI QIDQ1391436

Paul Glasserman, Mark N. Broadie

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

American option pricingMonte Carlo simulationreal optionsmultiple state variablespath-dependent claims

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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