24 citations · 63 across the 7 of their papers we have counts for
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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…
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…