Conditional Sampling for Barrier Option Pricing Under the Heston Model (Q2926217): Difference between revisions

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+Conditional Sampling for Barrier Option Pricing under the LT Method
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+Constructing Embedded Lattice Rules for Multivariate Integration
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+Quasi-Monte Carlo for finance applications
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+Conditioning on One-Step Survival for Barrier Option Simulations
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+EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Constructing Sobol Sequences with Better Two-Dimensional Projections
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+Quasi-Monte Carlo methods with applications in finance
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+A Global Adaptive Quasi-Monte Carlo Algorithm for Functions of Low Truncation Dimension Applied to Problems from Finance
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+Publication:2926217