Broadie Mark

Mark Broadie

Information about the author Mark Broadie will soon be added to the site.
Found 9 papers in total
Risk Estimation via Regression
Risk Estimation via Regression
2015
We introduce a regression‐based nested Monte Carlo simulation method for the...
Efficient Risk Estimation via Nested Sequential Simulation
Efficient Risk Estimation via Nested Sequential Simulation
2011
We analyze the computational problem of estimating financial risk in a nested...
A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options
A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options
2005
This paper develops algorithms for the pricing of discretely sampled barrier,...
Exact simulation of stochastic volatility and other affine jump diffusion processes
Exact simulation of stochastic volatility and other affine jump diffusion processes
2006
The stochastic differential equations for affine jump diffusion models do not yield...
Option pricing: valuation models and applications
Option pricing: valuation models and applications
2004
This paper surveys the literature on option pricing from its origins to the present....
Primal–dual simulation algorithm for pricing multidimensional American options
Primal–dual simulation algorithm for pricing multidimensional American options
2004
This paper describes a practical algorithm based on Monte Carlo simulation for the...
Application of the fast Gauss transform to option pricing
Application of the fast Gauss transform to option pricing
2003
In many of the numerical methods for pricing American options based on the dynamic...
Estimating security price derivatives using simulation
Estimating security price derivatives using simulation
1996
Simulation has proved to be a valuable tool for estimating security prices for which...
Computing efficient frontiers using estimated parameters
Computing efficient frontiers using estimated parameters
1993
The mean-variance model for portfolio selection requires estimates of many parameters....
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