Concepedia

Paul Glasserman

PG

133

Publications

9.9K

Citations

52

H-Index

1988

Active since

Affiliations

Columbia University(Current)

Korea Advanced Institute of Science and Technology

Paul Glasserman is an author at Columbia University specializing in engineering, business, and finance.

Top concepts

EngineeringBusinessFinanceStatisticsProbabilityAsset PricingManagementStatistical InferenceEconomicsComputer Science

Publications per year

1988–2023

133

Publications

133

Monte Carlo methods for security pricing

Phelim Boyle, Mark Broadie, Paul Glasserman · Journal of Economic Dynamics and Control · 1997 · 870 citations

Engineering, Monte Carlo, Monte Carlo Method +5

Pricing American-style securities using simulation

Mark Broadie, Paul Glasserman · Journal of Economic Dynamics and Control · 1997 · 633 citations · Full text

Economics, Option Pricing, Computational Finance +13

Estimating Security Price Derivatives Using Simulation

Mark Broadie, Paul Glasserman · Management Science · 1996 · 470 citations

Engineering, Foreign Exchange Option, Direct Methods +17

A stochastic mesh method for pricing high-dimensional American options

Mark Broadie, Paul Glasserman · The Journal of Computational Finance · 2004 · 374 citations

Mathematical Programming, Numerical Analysis, Option Pricing +11

A Continuity Correction for Discrete Barrier Options

Mark Broadie, Paul Glasserman, Steven Kou · Mathematical Finance · 1997 · 347 citations · Full text

Mathematical Programming, Discontinuity, Foreign Exchange Option +17

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