86 citations · 301 across the 37 of their papers we have counts for
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q-fin.CP2011★ 24 cited
Conditional sampling for barrier option pricing under the LT method
Nico Achtsis, Ronald Cools, Dirk Nuyens
We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method t…
math.NA2011★ 58 cited
Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules
Jan Baldeaux, Josef Dick, Gunther Leobacher +2
We show how to obtain a fast component-by-component construction algorithm for higher order polynomial lattice rules. Such rules are useful for multivariate quadrature of high-dime…