Monte Carlo methods for security pricing
type: Item
instance of: scholarly article
zbMATH Open document ID: 0991.91026
author: Phelim Boyle
author: Mark Broadie
author: Paul Glasserman
publication date: 2002-08-25T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 1705214
zbMATH Keywords: variance
zbMATH Keywords: control variates
zbMATH Keywords: Monte Carlo method
MaRDI profile type: Publication
title: Monte Carlo methods for security pricing
review text: The authors focus extensively on the use of Monte Carlo methods for pricing. It is also applicable to risk management. A number of theorems and lemmas are proposed for theoretical development. The developed algorithms will be useful for solving problems which were long thought to be computationally intractable. It is an interesting paper for researchers in the numerical analysis area.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].
reviewed by: Prabhat Kumar Mahanti
description: scientific article; zbMATH DE number 1705214