Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation

Monte Carlo methods for security pricing

Phelim Boyle, Mark Broadie, Paul Glasserman · Journal of Economic Dynamics and Control · 1997 · 875 citations

Business, Business Economics, Economics +14

Gradient Estimation via Perturbation Analysis

Mathematics and Computers in Simulation · 1991 · 738 citations

Natural Sciences, Computer Science, Optimization +8

Applications of Malliavin calculus to Monte Carlo methods in finance

Éric Fournié, Jean‐Michel Lasry, Jérôme Lebuchoux et al. · Finance and Stochastics · 1999 · 565 citations

Business, Economics, Finance +17

Estimating Security Price Derivatives Using Simulation

Mark Broadie, Paul Glasserman · Management Science · 1996 · 473 citations

Business, Economics, Finance +16

Likelihood ratio gradient estimation for stochastic systems

Peter W. Glynn · Communications of the ACM · 1990 · 408 citations · Full text

Computing, Computer Science, Computer Systems +16