Pricing American-style securities using simulation (Q1391436)

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Pricing American-style securities using simulation
scientific article

    Statements

    title
    Pricing American-style securities using simulation (English)
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    author
    Paul Glasserman
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    Mark N. Broadie
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    publication date
    22 July 1998
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    zbMATH Keywords
    Monte Carlo simulation
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    American option pricing
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    path-dependent claims
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    multiple state variables
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    real options
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    60G40
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    zbMATH DE Number
    1178020
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