Pricing American-style securities using simulation

Journal of Economic Dynamics and Control

Volumn 21, Issue 8-9, 1997, Pages 1323-1352

  Broadie, Mark ^a   Glasserman, Paul ^a  

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

Author keywords

American option pricing; Monte Carlo simulation; Multiple state variables; Path dependent claims; Real options

Indexed keywords

EID: 0031590025     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00029-8     Document Type: Article

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