Pricing American-style securities using simulation
From MaRDI portal
Publication:1391436
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)
American option pricing; Monte Carlo simulation; real options; multiple state variables; path-dependent claims
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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