scientific article; zbMATH DE number 1069618
zbMATH Open0898.90029MaRDI QIDQ4356580FDOQ4356580
Authors: Mark Broadie, Jérôme Detemple 
Publication date: 1 November 1998
Title of this publication is not available (Why is that?)
Recommendations
surveyEuropean optionsAmerican optionsmultiple assetsclosed-form pricesderivative securitybarrier and lookback optionsnumerical procedures for security pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
Cited In (27)
- Fast numerical valuation of American, exotic and complex options
- Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model
- Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
- High‐performance numerical pricing methods
- A numerical analysis of variational valuation techniques for derivative securities
- Derivative securities and difference methods
- A posteriorierror analysis for parabolic variational inequalities
- Pricing American options written on two underlying assets
- Financial derivative valuation -- A dynamic semiparametric approach
- Title not available (Why is that?)
- American-style derivatives. Valuation and computation.
- Adaptive lattice methods for multi-asset models
- A comparison study of explicit and implicit numerical methods for the equity-linked securities
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- An explicit series approximation to the optimal exercise boundary of American put options
- A minute with Giovanni Barone-Adesi
- Title not available (Why is that?)
- Valuing American options by simulation: a BSDEs approach
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
- Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- Pricing algorithms of multivariate path dependent options
- Valuation of derivative securities involving several assets using discrete time methods
- Application of the singularity-separating method to American exotic option pricing
- A `moving index' method for the solution of the American options valuation problem
- New insights on testing the efficiency of methods of pricing and hedging American options
- Improving projected successive overrelaxation method for linear complementarity problems
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