Dirk Nuyens

activity

20112026

most citedHigher order QMC Galerkin discretization for parametric operator equations

86 citations · 301 across the 37 of their papers we have counts for

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Showing 2012Show all

2 papers · 1 filter

math.NA2012★ 3 cited

Lattice rules for nonperiodic smooth integrands

Josef Dick, Dirk Nuyens, Friedrich Pillichshammer

The aim of this paper is to show that one can achieve convergence rates of $N^{- α + δ}$ for $α > 1/2$ (and for $δ > 0$ arbitrarily small) for nonperiodic $α$ -smooth cosine series usin…

q-fin.CP2012

Conditional sampling for barrier option pricing under the Heston model

Nico Achtsis, Ronald Cools, Dirk Nuyens

We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT me…