Numerical Valuation of High Dimensional Multivariate European Securities

DOI10.1287/mnsc.41.12.1882zbMath0852.90021OpenAlexW2105032592MaRDI QIDQ4887765

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

zbMATH Keywords

option pricingMonte Carlo simulationarbitrage pricing theorypricing a contingent claimquadratic resampling

Mathematics Subject Classification ID

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

Related Items (8)

Monte Carlo integration, quadratic resampling, and asset pricing ⋮ Dynamic portfolio choice: a simulation-and-regression approach ⋮ Monte Carlo methods for security pricing ⋮ LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION ⋮ Efficient and accurate quadratic approximation methods for pricing Asian strike options ⋮ SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING ⋮ Strong consistency of the empirical martingale simulation option price estimator ⋮ Unnamed Item

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