An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
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Publication:1634312
DOI10.1016/j.ejor.2018.10.030zbMath1406.91487OpenAlexW2896866676MaRDI QIDQ1634312
Zhijian He, Fei Xie, Xiaoqun Wang
Publication date: 18 December 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2018.10.030
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
A general control variate method for Lévy models in finance ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
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