Estimating Security Price Derivatives Using Simulation

DOI10.1287/mnsc.42.2.269zbMath0881.90018OpenAlexW2122272911MaRDI QIDQ4363594

Paul Glasserman, Mark N. Broadie

Publication date: 12 November 1997

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.42.2.269

zbMATH Keywords

simulationoption pricingderivative estimationpathwise methodlikelihood ratio methodestimating security prices

Mathematics Subject Classification ID

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