Monte Carlo methods for security pricing

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

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

Publication date: 22 July 1998

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

zbMATH Keywords

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

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

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Uses Software

• TOMS659

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