Mark Broadie

17 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0009-0004-1050-6408

Graduate School of Business, Columbia University, New York, New York 10025

Publications

• Practical Nonparametric Sampling Strategies for Quantile-Based Ordinal Optimization — INFORMS Journal on Computing 2022 (name-matched, not ORCID-linked)
• Tractable Sampling Strategies for Ordinal Optimization — Operations Research 2018 (name-matched, not ORCID-linked)
• Risk Estimation via Regression — Operations Research 2015 (name-matched, not ORCID-linked)
• Efficient Risk Estimation via Nested Sequential Simulation — Management Science 2011 (name-matched, not ORCID-linked)
• General Bounds and Finite-Time Improvement for the Kiefer-Wolfowitz Stochastic Approximation Algorithm — Operations Research 2011 (name-matched, not ORCID-linked)
• Understanding Index Option Returns — The Review of Financial Studies 2009
• Model Specification and Risk Premia: Evidence from Futures Options — The Journal of Finance 2007 (name-matched, not ORCID-linked)
• Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11 — The Journal of Finance 2007 (name-matched, not ORCID-linked)
• A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings — Journal of Financial and Quantitative Analysis 2007
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes — Operations Research 2006 (name-matched, not ORCID-linked)
• Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options — Management Science 2004 (name-matched, not ORCID-linked)
• ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications — Management Science 2004 (name-matched, not ORCID-linked)
• Application of the Fast Gauss Transform to Option Pricing — Management Science 2003 (name-matched, not ORCID-linked)
• Optimal Replication of Contingent Claims under Portfolio Constraints — The Review of Financial Studies 1998 (name-matched, not ORCID-linked)
• American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods — The Review of Financial Studies 1996 (name-matched, not ORCID-linked)
• Estimating Security Price Derivatives Using Simulation — Management Science 1996 (name-matched, not ORCID-linked)
• American Capped Call Options on Dividend-Paying Assets — The Review of Financial Studies 1995 (name-matched, not ORCID-linked)