Pages that link to "Item:Q2873131"
From MaRDI portal
The following pages link to Conditional sampling for barrier option pricing under the LT method (Q2873131):
Displaying 17 items.
- High dimensional integration of kinks and jumps -- smoothing by preintegration (Q724506) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions (Q1643844) (← links)
- On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo (Q2473285) (← links)
- Conditional Sampling for Barrier Option Pricing Under the Heston Model (Q2926217) (← links)
- Conditioning on One-Step Survival for Barrier Option Simulations (Q3635045) (← links)
- Smoothing the payoff for efficient computation of Basket option prices (Q4554434) (← links)
- Brownian Path Generation and Polynomial Chaos (Q4958391) (← links)
- Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on ℝ^{𝕕} (Q5082038) (← links)
- Quasi-Monte Carlo-based conditional pathwise method for option Greeks (Q5215438) (← links)
- Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction (Q5738153) (← links)
- Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing (Q5740211) (← links)
- Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities (Q5886221) (← links)
- Preintegration via Active Subspace (Q5886240) (← links)
- Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities (Q6498605) (← links)
- Multilevel path branching for digital options (Q6620084) (← links)
- Conditional quasi-Monte Carlo with constrained active subspaces (Q6623714) (← links)
