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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.CP2024★ 1 cited

Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options

Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon +2

Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier do…