Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: Management Science 47 (2001) 8, pp. 1122-1132
Monte Carlo simulation is commonly used for computing prices of derivative securities when an analytical solution does not exist. Recently, a new simulation technique known as empirical martingale simulation (EMS) has been proposed by Duan and Simonato (1998) as a way of improving simulation...