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Pricing American-Style Securities Using Simulation

Author

Listed:
  • Broadie, M.
  • Glasserman, P.

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.

Suggested Citation

  • Broadie, M. & Glasserman, P., 1996. "Pricing American-Style Securities Using Simulation," Papers 96-12, Columbia - Graduate School of Business.
    • Handle: RePEc:fth:colubu:96-12
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    Citations

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    Cited by:

    1. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.

    More about this item

    Keywords

    PRICING; SIMULATION; SECURITIES;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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