Conditional Sampling for Barrier Option Pricing Under the Heston Model
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Publication:2926217
DOI10.1007/978-3-642-41095-6_9zbMath1302.91192arXiv1207.6566OpenAlexW2102387432WikidataQ57778800 ScholiaQ57778800MaRDI QIDQ2926217
Nico Achtsis, Dirk Nuyens, Ronald Cools
Publication date: 31 October 2014
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.6566
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (9)
Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options ⋮ Smoothing the payoff for efficient computation of Basket option prices ⋮ An analytical approximation method for pricing barrier options under the double Heston model ⋮ Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} ⋮ Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) ⋮ Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction ⋮ High dimensional integration of kinks and jumps -- smoothing by preintegration ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
Uses Software
Cites Work
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