24 citations · 24 across the 3 of their papers we have counts for
3 papers
q-fin.TR2013
A Monte Carlo method for optimal portfolio executions
Nico Achtsis, Dirk Nuyens
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost bec…
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…