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20152026
most citedHierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model

17 citations · 48 across the 14 of their papers we have counts for

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q-fin.CP2022★ 1 cited

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models

Michael Samet, Christian Bayer, Chiheb Ben Hammouda +2

Efficiently pricing multi-asset options is a challenging problem in quantitative finance. When the characteristic function is available, Fourier-based methods are competitive compa…