Monte Carlo methods for security pricing

DOI10.1016/S0165-1889(97)00028-6zbMath0901.90007OpenAlexW1964916079MaRDI QIDQ1391435

Paul Glasserman, Phelim P. Boyle, Mark N. Broadie

Publication date: 22 July 1998

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00028-6

zbMATH Keywords

option pricing Monte Carlo simulation derivative estimation variance reduction quasi-Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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TOMS659

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