Empirical Martingale Simulation for Asset Prices

References

• Barraquand J. Numerical valuation of high dimensional multivariate european securities. Management Sci. (1995) 41 1882 1891 Link, Google Scholar
• Black F. , Scholes M. The pricing of options and corporate liabilities. J. Political Econom. (1973) 81 637 659 Crossref, Google Scholar
• Boyle P. Options: A Monte Carlo approach. J. Financial Econom. (1977) 4 323 338 Crossref, Google Scholar
• Boyle P. , Broadie M. , Glasserman P. Monte Carlo methods for security pricing. J. Econom. Dynam. Control (1997) 21 1263 1321 Crossref, Google Scholar
• Broadie M. , Detemple J. American option valuation: New bounds, approximations, and a comparison of existing methods. Rev. Financial Stud. (1996) 9 1211 1250 Crossref, Google Scholar
• Cox J. , Ross S. The valuation of options for alternative stochastic processes. J. Financial Econom. (1976) 3 145 166 Crossref, Google Scholar
• Duan J. The GARCH option pricing model. Math. Finance (1995) 5 13 32 Crossref, Google Scholar
• Harrison J. , Kreps D. Martingales and arbitrage in multiperiod securities markets. J. Econom. Theory (1979) 20 381 408 Crossref, Google Scholar
• Harrison J. , Pliska S. Martingales and stochastic integrals in the theory of continuous trading. Stochastic Process. Appl. (1981) 11 215 260 Crossref, Google Scholar
• Hull J. , White A. The pricing of options on assets with stochastic volatility. J. Finance (1987) 42 281 299 Crossref, Google Scholar
• Kemna A. , Vorst A. A pricing method for options based on average asset values. J. Banking Finance (1990) 14 113 129 Crossref, Google Scholar
• Lucas R. Asset prices in an exchange economy. Econometrica (1978) 46 1429 1445 Crossref, Google Scholar
• Merton R. Theory of rational option pricing. Bell J. Econom. Management Sci. (1973) 4 141 183 Crossref, Google Scholar
• Ritchken P. , Sankarasubramanian L. , Vijh A. The valuation of path dependent contracts on the average. Management Sci. (1993) 39 1202 1213 Link, Google Scholar
• Turnbull S. , Wakeman L. A quick algorithm for pricing european average options. J. Financial Quant. Anal. (1991) 26 377 389 Crossref, Google Scholar