Monte Carlo methods for security pricing

Journal of Economic Dynamics and Control

Volumn 21, Issue 8-9, 1997, Pages 1267-1321

  Boyle, Phelim ^a   Broadie, Mark ^b   Glasserman, Paul ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Derivative estimation; Monte Carlo simulation; Option pricing; Quasi Monte Carlo; Variance reduction

Indexed keywords

EID: 0031590023     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00028-6     Document Type: Article

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