Conditional Sampling for Barrier Option Pricing under the LT Method
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Publication:2873131
DOI10.1137/110855909zbMath1298.91186arXiv1111.4808WikidataQ57778802 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
quasi-Monte Carlo; root-finding; linear transformation method; barrier options; conditional sampling
91G60: Numerical methods (including Monte Carlo methods)
65C20: Probabilistic models, generic numerical methods in probability and statistics
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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