An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312)
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scientific article; zbMATH DE number 6994595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options |
scientific article; zbMATH DE number 6994595 |
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An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (English)
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18 December 2018
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simulation
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importance sampling
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quasi-Monte Carlo
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discrete barrier option
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smoothing
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0.9327976
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0.8792275
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0.87689877
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0.8594016
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0.85783964
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0.85765195
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0.8572898
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