Conditional Sampling for Barrier Option Pricing Under the Heston Model

DOI10.1007/978-3-642-41095-6_9zbMath1302.91192arXiv1207.6566WikidataQ57778800 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

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

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

65C30: Numerical solutions to stochastic differential and integral equations

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Uses Software

• Magic Point Shop

Cites Work

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