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Recent Advances in Numerical Methods for Pricing Derivative Securities

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  • Mark Broadie
  • Jérôme Detemple

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  • Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
    • Handle: RePEc:cir:cirwor:96s-17
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    File URL: https://cirano.qc.ca/files/publications/96s-17.pdf
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    Cited by:

    1. Pressacco, Flavio & Gaudenzi, Marcellino & Zanette, Antonino & Ziani, Laura, 2008. "New insights on testing the efficiency of methods of pricing and hedging American options," European Journal of Operational Research, Elsevier, vol. 185(1), pages 235-254, February.

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