Pricing American-Style Securities Using Simulation

M. Broadie and P. Glasserman

Working Papers from Columbia - Graduate School of Business

Abstract: We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.

Keywords: PRICING; SIMULATION; SECURITIES (search for similar items in EconPapers)
JEL-codes: C15 C63 G13 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1996
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:colubu:96-12

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