Work

Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights

Year: 2000

Type: book-chapter

Source: Nonconvex optimization and its applications

DOI: 10.1007/978-1-4757-3150-7_2

Authors: Mark Broadie, Paul Glasserman, Zachary Ha

Institutions: Columbia University, Goldman Sachs (United States)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1574770694

FWCI: 3.492

Cites: 13

Cited by: 47

Related to: 10