Author:
Kuo Frances Y.,Nuyens Dirk
Publisher
Springer International Publishing
Reference79 articles.
1. Achtsis, N., Cools, R., Nuyens, D.: Conditional sampling for barrier option pricing under the Heston model. In: Dick, J., Kuo, F.Y., Peters, G., Sloan, I.H. (eds.) Monte Carlo and Quasi-Monte Carlo Methods 2012, pp. 253–269. Springer, Berlin (2013)
2. Acworth, P., Broadie, M., Glasserman, P.: A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing. In: Hellekalek, P., Larcher, G., Niederreiter, H., Zinterhof, P. (eds.) Monte Carlo and quasi-Monte Carlo methods 1996, pp. 1–18. Springer, Berlin (1998)
3. Ammon, A., Hartung, T., Jansen, K., Leövey, H., Vollmer, J.: On the efficient numerical solution of lattice systems with low-order couplings. Comput. Phys. Commun. 198, 71–81 (2016)
4. Caflisch, R.E., Morokoff, W., Owen, A.B.: Valuation of mortgage backed securities using Brownian bridges to reduce effective dimension. J. Comput. Financ. 1, 27–46 (1997)
5. Cohen, A., DeVore, R.: Approximation of high-dimensional parametric PDEs. Acta Numer. 24, 1–159 (2015)
Cited by
3 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献