Numerical Valuation of High Dimensional Multivariate European Securities

DOI10.1287/MNSC.41.12.1882MaRDI QIDQ4887765zbMATH OpenOpenAlexFDO

Authors Jérôme Barraquand

Publication date 1 October 1996

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.41.12.1882

zbMATH Keywords

arbitrage pricing theoryMonte Carlo simulationoption pricingpricing a contingent claimquadratic resampling

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(12)

• Strong consistency of the empirical martingale simulation option price estimator
• Monte Carlo methods for security pricing
• Monte Carlo integration, quadratic resampling, and asset pricing
• Dynamic portfolio choice: a simulation-and-regression approach
• Efficient and accurate quadratic approximation methods for pricing Asian strike options
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
• scientific article; zbMATH DE number 7049505 (Why is no real title available?)
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• Addressing theoretical and empirical discrepancies in life insurance valuations through EMS
• Truncated distributions of valuation multiples: an application to European food firms
• Pricing European options by numerical replication: quadratic programming with constraints

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