Pricing American-style securities using simulation
type: Item
instance of: scholarly article
title: Pricing American-style securities using simulation
zbMATH Open document ID: 0901.90009
DOI: 10.1016/S0165-1889(97)00029-8
author: Paul Glasserman
author: Mark Broadie
publication date: 1998-07-22T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 1178020
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: American option pricing
zbMATH Keywords: path-dependent claims
zbMATH Keywords: multiple state variables
zbMATH Keywords: real options
MaRDI profile type: Publication
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published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 1178020