Numerical Valuation of High Dimensional Multivariate European Securities

DOI10.1287/MNSC.41.12.1882zbMATH Open0852.90021OpenAlexW2105032592MaRDI QIDQ4887765FDOQ4887765

Authors: Jérôme Barraquand 

Publication date: 1 October 1996

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

Full work available at URL: https://doi.org/10.1287/mnsc.41.12.1882

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zbMATH Keywords

option pricingMonte Carlo simulationarbitrage pricing theorypricing a contingent claimquadratic resampling

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cited In (11)

• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
• Truncated distributions of valuation multiples: an application to European food firms
• Pricing European options by numerical replication: quadratic programming with constraints
• Monte Carlo integration, quadratic resampling, and asset pricing
• Monte Carlo methods for security pricing
• Strong consistency of the empirical martingale simulation option price estimator
• ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS
• Title not available (Why is that?)
• LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
• Efficient and accurate quadratic approximation methods for pricing Asian strike options
• Dynamic portfolio choice: a simulation-and-regression approach

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