Pricing American-Style Securities Using Simulation.

We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.

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Year of publication:	1996
Authors:	Broadie, M. ; Glasserman, P.
Institutions:	Graduate School of Business, Columbia University
Subject:	PRICING \| SIMULATION \| SECURITIES

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Series:	Columbia - Graduate School of Business.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005630991