An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options

DOI10.1016/j.ejor.2018.10.030zbMath1406.91487MaRDI QIDQ1634312

Xiaoqun Wang, Zhijian He, Fei Xie

Publication date: 18 December 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.10.030

zbMATH Keywords

smoothing; simulation; importance sampling; quasi-Monte Carlo; discrete barrier option

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)