Concepedia
Statistics
Publications
133
Citations
9.9K
H-Index
52
Active since
1988
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
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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