Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights
By Mark Broadie, Paul Glasserman, Z. Ha. 2000
64 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/ffd9e8f13aaf4b4c373044c3804e44a06817872c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Bin Yu
- Paul Glasserman
- M. Giles
- Michael C. Fu
- Christian Bender
- Christiane Lemieux
- Mark Broadie
- Chris J. Oates
In Management Science and Operations Research
Citations in the corpus
- Simulation for American Options: Regression Now or Regression Later? (2004, methodology): “The BGH [5] estimator (17) admits the representation”