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Estimating security price derivatives using simulation

Broadie, Mark; Glasserman, Paul - 1993

Persistent link: https://www.econbiz.de/10000990346

Asymptotically optimal importance sampling and stratification for pricing path-dependent options

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152

Persistent link: https://www.econbiz.de/10001372181

Monte Carlo methods in financial engineering

Glasserman, Paul - 2004

Persistent link: https://www.econbiz.de/10001763783

Additive and multiplicative duals for American option pricing

Chen, Nan; Glasserman, Paul - In: Finance and stochastics 11 (2007) 2, pp. 153-179

Persistent link: https://www.econbiz.de/10003439750

Enhanced Monte Carlo estimates for American option prices

Broadie, Mark - In: The journal of derivatives : the official publication … 5 (1997) 1, pp. 25-44

Persistent link: https://www.econbiz.de/10001226468

Pricing American style securities using simulation

Broadie, Mark - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1323-1352

Persistent link: https://www.econbiz.de/10001222047

Monte Carlo methods for security pricing

Boyle, Phelim P. - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1267-1321

Persistent link: https://www.econbiz.de/10001222048

Importance Sampling for Portfolio Credit Risk

Glasserman, Paul; Li, Jingyi - In: Management Science 51 (2005) 11, pp. 1643-1656

Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate bonds, and other … instruments subject to possible default. The accurate measurement of credit risk is often a rare-event simulation problem because …

Persistent link: https://www.econbiz.de/10009191545

Numerical solution of jump-diffusion LIBOR market models

Glasserman, Paul; Merener, Nicolas - In: Finance and stochastics 7 (2003) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10001724635

Sensitivity estimates for portfolio credit derivatives using Monte Carlo

Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540

Persistent link: https://www.econbiz.de/10003899268