Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing

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Cited in

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Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
Conditional quasi-Monte Carlo with constrained active subspaces
Screening: from tornado diagrams to effective dimensions
Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
Good path generation methods in quasi-Monte Carlo for pricing financial derivatives
Quasi-Monte Carlo-based conditional pathwise method for option Greeks
Comparison of Sobol' sequences in financial applications

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