Conditional Sampling for Barrier Option Pricing under the LT Method

DOI10.1137/110855909zbMath1298.91186arXiv1111.4808OpenAlexW3100633452WikidataQ57778802 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

Related Items (12)

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 ⋮ 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

Uses Software

• Magic Point Shop

This page was built for publication: Conditional Sampling for Barrier Option Pricing under the LT Method