Conditional Sampling for Barrier Option Pricing under the LT Method

DOI10.1137/110855909zbMath1298.91186DBLPjournals/siamfm/AchtsisCN13arXiv1111.4808OpenAlexW3100633452WikidataQ57778802 ScholiaQ57778802MaRDI QIDQ2873131

Nico Achtsis, Dirk Nuyens, Ronald Cools

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.4808

zbMATH Keywords

quasi-Monte Carloroot-findinglinear transformation methodbarrier optionsconditional sampling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ Preintegration via Active Subspace ⋮ An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options ⋮ Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions ⋮ Smoothing the payoff for efficient computation of Basket option prices ⋮ Conditional Sampling for Barrier Option Pricing Under the Heston Model ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing ⋮ Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities ⋮ High dimensional integration of kinks and jumps -- smoothing by preintegration ⋮ Brownian Path Generation and Polynomial Chaos ⋮ Quasi-Monte Carlo-based conditional pathwise method for option Greeks

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