Year |
Citation |
Score |
2017 |
Broadie M, Shen W. Numerical solutions to dynamic portfolio problems with upper bounds Computational Management Science. 14: 215-227. DOI: 10.1007/S10287-016-0270-5 |
0.347 |
|
2016 |
Broadie M, Shen W. HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION with TRANSACTION COSTS International Journal of Theoretical and Applied Finance. 19. DOI: 10.1142/S0219024916500254 |
0.405 |
|
2015 |
Broadie M, Du Y, Moallemi CC. Risk estimation via regression Operations Research. 63: 1077-1097. DOI: 10.1287/Opre.2015.1419 |
0.337 |
|
2014 |
Broadie M, Cicek DM, Zeevi A. Multidimensional stochastic approximation: Adaptive algorithms and applications Acm Transactions On Modeling and Computer Simulation. 24: 6. DOI: 10.1145/2553085 |
0.375 |
|
2012 |
Asvanunt A, Broadie M, Sundaresan S. Managing corporate liquidity: Strategies and pricing implications Finance At Fields. 37-74. DOI: 10.1142/S0219024911006589 |
0.647 |
|
2012 |
Broadie M, Derman E, Glasserman P, Kou S. Financial engineering at Columbia University Quantitative Finance. 12: 11-14. DOI: 10.1080/14697688.2011.635002 |
0.32 |
|
2011 |
Broadie M, Du Y, Moallemi CC. Efficient risk estimation via nested sequential simulation Management Science. 57: 1172-1194. DOI: 10.1287/Mnsc.1110.1330 |
0.316 |
|
2011 |
Asvanunt A, Broadie M, Sundaresan S. Managing corporate liquidity: Strategies and pricing implications International Journal of Theoretical and Applied Finance. 14: 369-406. DOI: 10.1142/S0219024911006589 |
0.64 |
|
2009 |
Broadie M, Chernov M, Johannes MS. Understanding Index Option Returns Review of Financial Studies. 22: 4493-4529. DOI: 10.2139/Ssrn.965739 |
0.441 |
|
2009 |
Broadie M, Chernov M, Johannes M. Understanding index option returns Review of Financial Studies. 22: 4493-4529. DOI: 10.1093/rfs/hhp032 |
0.373 |
|
2008 |
Broadie MN, Jain A. Pricing and hedging volatility derivatives Journal of Derivatives. 15: 7-24. DOI: 10.3905/Jod.2008.702503 |
0.612 |
|
2008 |
Broadie M, Jain A. The effect of jumps and discrete sampling on volatility and variance swaps International Journal of Theoretical and Applied Finance. 11: 761-797. DOI: 10.1142/S0219024908005032 |
0.554 |
|
2008 |
Broadie M, Cao M. Improved lower and upper bound algorithms for pricing American options by simulation Quantitative Finance. 8: 845-861. DOI: 10.1080/14697680701763086 |
0.365 |
|
2007 |
Broadie M, Chernov M, Sundaresan SM. Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 Journal of Finance. 62: 1341-1377. DOI: 10.2139/Ssrn.661441 |
0.429 |
|
2007 |
Broadie M, Chernov M, Johannes M. Model Specification and Risk Premia: Evidence from Futures Options Journal of Finance. 62: 1453-1490. DOI: 10.2139/Ssrn.504642 |
0.415 |
|
2007 |
Broadie M, Chernov M, Johannes M. Model specification and risk premia: Evidence from futures options Journal of Finance. 62: 1453-1490. DOI: 10.1111/j.1540-6261.2007.01241.x |
0.315 |
|
2007 |
Broadie M, Chernov M, Sundaresan S. Optimal debt and equity values in the presence of chapter 7 and chapter 11 Journal of Finance. 62: 1341-1377. DOI: 10.1111/j.1540-6261.2007.01238.x |
0.333 |
|
2007 |
Broadie M, Kaya O. A binomial lattice method for pricing corporate debt and modeling chapter 11 proceedings Journal of Financial and Quantitative Analysis. 42: 279-312. DOI: 10.1017/S0022109000003288 |
0.632 |
|
2006 |
Broadie M, Kaya O. Exact simulation of stochastic volatility and other affine jump diffusion processes Operations Research. 54: 217-231. DOI: 10.1287/Opre.1050.0247 |
0.602 |
|
2005 |
Broadie M, Yamamoto Y. A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options Operations Research. 53: 764-779. DOI: 10.1287/Opre.1050.0219 |
0.366 |
|
2004 |
Broadie M, Glasserman P. A Sotchastic Mesh Method for Pricing High-Dimensional American Options Journal of Computational Finance. 7: 35-72. DOI: 10.21314/Jcf.2004.117 |
0.454 |
|
2004 |
Broadie M, Detemple JB. Option pricing: Valuation models and applications Management Science. 50: 1145-1177. DOI: 10.1287/Mnsc.1040.0275 |
0.422 |
|
2004 |
Andersen L, Broadie M. Primal-dual simulation algorithm for pricing multidimensional American options Management Science. 50: 1222-1234. DOI: 10.1287/Mnsc.1040.0258 |
0.39 |
|
2004 |
Broadie M, Kaya Ö. Exact simulation of option Greeks under stochastic volatility and jump diffusion models Proceedings - Winter Simulation Conference. 2: 1607-1615. |
0.587 |
|
2003 |
Broadie M, Yamamoto Y. Application of the fast Gauss transform to option pricing Management Science. 49: 1071-1088. DOI: 10.1287/Mnsc.49.8.1071.16405 |
0.34 |
|
2000 |
Broadie M, Detemple J, Ghysels E, Torrés O. American options with stochastic dividends and volatility: A nonparametric investigation Journal of Econometrics. 94: 53-92. DOI: 10.1016/S0304-4076(99)00017-2 |
0.477 |
|
2000 |
Broadie M, Detemple J, Ghysels E, Torrès O. Nonparametric estimation of American options' exercise boundaries and call prices Journal of Economic Dynamics and Control. 24: 1829-1857. DOI: 10.1016/S0165-1889(99)00094-9 |
0.422 |
|
1999 |
Broadie M, Glasserman P, Kou S. Connecting discrete and continuous path-dependent options Finance and Stochastics. 3: 55-82. DOI: 10.1007/S007800050052 |
0.459 |
|
1998 |
Broadie M, Cvitanić J, Soner HM. Optimal Replication of Contingent Claims under Portfolio Constraints Review of Financial Studies. 11: 59-79. DOI: 10.1093/Rfs/11.1.59 |
0.403 |
|
1997 |
Broadie M, Glasserman P, Jain G. Enhanced Monte Carlo Estimates for American Option Prices Journal of Derivatives. 5: 25-44. DOI: 10.3905/Jod.1997.407983 |
0.398 |
|
1997 |
Broadie M, Glasserman P, Steven K. A continuity correction for discrete barrier options Mathematical Finance. 7: 325-349. DOI: 10.1111/1467-9965.00035 |
0.451 |
|
1997 |
Broadie M, Detemple J. The valuation of American options on multiple assets Mathematical Finance. 7: 241-286. DOI: 10.1111/1467-9965.00032 |
0.382 |
|
1997 |
Broadie M, Glasserman P. Pricing American-style securities using simulation Journal of Economic Dynamics and Control. 21: 1323-1352. DOI: 10.1016/S0165-1889(97)00029-8 |
0.397 |
|
1997 |
Boyle P, Broadie M, Glasserman P. Monte Carlo methods for security pricing Journal of Economic Dynamics and Control. 21: 1267-1321. DOI: 10.1016/S0165-1889(97)00028-6 |
0.382 |
|
1996 |
Broadie M, Glasserman P. Estimating security price derivatives using simulation Management Science. 42: 269-285. DOI: 10.1287/Mnsc.42.2.269 |
0.394 |
|
1996 |
Broadie M, Detemple J. American option valuation: New bounds, approximations, and a comparison of existing methods Review of Financial Studies. 9: 1211-1250. DOI: 10.1093/Rfs/9.4.1211 |
0.401 |
|
1995 |
Broadie M, Detemple JB. American Capped Call Options on Dividend-Paying Assets Review of Financial Studies. 8: 161-191. DOI: 10.1093/Rfs/8.1.161 |
0.349 |
|
1993 |
Broadie M, Joneja D. An Application of Markov Chain Analysis to the Game of Squash Decision Sciences. 24: 1023-1035. DOI: 10.1111/J.1540-5915.1993.Tb00501.X |
0.34 |
|
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