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A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
Broadie, M.; Yamamoto, Y. - In: Operations research : the journal of the Operations … 53 (2005) 5, pp. 764-779
Persistent link: https://www.econbiz.de/10006417224
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Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
Broadie, Mark; Kaya, zgr - In: Operations research : the journal of the Operations … 54 (2006) 2, pp. 217-231
Persistent link: https://www.econbiz.de/10006416949
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General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm
Broadie, Mark; Cicek, Deniz; Zeevi, Assaf - In: Operations research : the journal of the Operations … 59 (2011) 5, pp. 1211-1225
Persistent link: https://www.econbiz.de/10009804873