Conditional sampling for barrier option pricing under the LT method
We develop a conditional sampling scheme for pricing knock-out barrier options under the
linear transformation algorithm from Imai and Tan [J. Comput. Finance, 10 (2006), pp. 129 …
linear transformation algorithm from Imai and Tan [J. Comput. Finance, 10 (2006), pp. 129 …
Conditional Sampling for Barrier Option Pricing under the LT Method
N Achtsis, R Cools, D Nuyens - SIAM Journal on Financial …, 2013 - search.proquest.com
We develop a conditional sampling scheme for pricing knock-out barrier options under the
linear transformation algorithm from Imai and Tan [J. Comput. Finance, 10 (2006), pp. 129 …
linear transformation algorithm from Imai and Tan [J. Comput. Finance, 10 (2006), pp. 129 …
Conditional Sampling for Barrier Option Pricing under the LT Method
N Achtsis, R Cools, D Nuyens - SIAM Journal on Financial Mathematics, 2013 - dl.acm.org
We develop a conditional sampling scheme for pricing knock-out barrier options under the
linear transformation algorithm from Imai and Tan [J. Comput. Finance, 10 (2006), pp. 129 …
linear transformation algorithm from Imai and Tan [J. Comput. Finance, 10 (2006), pp. 129 …
Conditional sampling for barrier option pricing under the LT method
N Achtsis, R Cools, D Nuyens - arXiv preprint arXiv:1111.4808, 2011 - arxiv.org
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 …
Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new …
[PDF][PDF] Conditional sampling for barrier option pricing under the LT method
N Achtsis, R Cools, D Nuyens - arXiv preprint arXiv:1111.4808, 2011 - Citeseer
We develop a conditional sampling scheme for pricing knock-out barrier options under the
Linear Transformations (LT) algorithm from Imai and Tan (2006), ref.[12]. We compare our …
Linear Transformations (LT) algorithm from Imai and Tan (2006), ref.[12]. We compare our …
[PDF][PDF] Conditional sampling for barrier option pricing under the LT method
N Achtsis, R Cools, D Nuyens - arXiv preprint arXiv:1111.4808, 2011 - academia.edu
We develop a conditional sampling scheme for pricing knock-out barrier options under the
Linear Transformations (LT) algorithm from Imai and Tan (2006), ref.[12]. We compare our …
Linear Transformations (LT) algorithm from Imai and Tan (2006), ref.[12]. We compare our …
Conditional sampling for barrier option pricing under the LT method
N Achtsis, R Cools, D Nuyens - 2012 - econpapers.repec.org
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 …
Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new …
[PDF][PDF] Conditional sampling for barrier option pricing under the LT method
N Achtsis, R Cools, D Nuyens - arXiv preprint arXiv:1111.4808, 2011 - researchgate.net
We develop a conditional sampling scheme for pricing knock-out barrier options under the
Linear Transformations (LT) algorithm from Imai and Tan (2006), ref.[12]. We compare our …
Linear Transformations (LT) algorithm from Imai and Tan (2006), ref.[12]. We compare our …
Conditional sampling for barrier option pricing under the LT method
N Achtsis, R Cools, D Nuyens - 2012 - ideas.repec.org
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 …
Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new …
Conditional sampling for barrier option pricing under the LT method
N Achtsis, R Cools, D Nuyens - arXiv e-prints, 2011 - ui.adsabs.harvard.edu
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 …
Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new …