Theory and Construction of Quasi-Monte Carlo Rules for Asian Option Pricing and Density Estimation
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-59762-6_13
Reference16 articles.
1. Achtsis, N., Cools, R., Nuyens, D.: Conditional sampling for barrier option pricing under the LT method. SIAM J. Financ. Math. 4, 327–352 (2013)
2. Gilbert, A.D., Kuo, F.Y., Sloan, I.H.: Equivalence between Sobolev spaces of first order dominating mixed smoothness and unanchored ANOVA spaces on $${\mathbb{R} }^d$$. Math. Comp. 91, 1837–1869 (2022)
3. Gilbert, A.D., Kuo, F.Y., Sloan, I.H.: Analysis of preintegration followed by quasi-Monte Carlo integration for distribution functions and densities. SIAM J. Numer. Anal. 61, 135–166 (2022)
4. Glasserman, P.: Monte Carlo Methods in Financial Engineering. Springer, Berlin (2003)
5. Glasserman, P., Staum, J.: Conditioning on one-step survival for barrier option simulations. Oper. Res. 49, 923–937 (2001)
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