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Cited by

• 2006Efficient Simulation of the Heston Stochastic Volatility Model174 cited
• 1997Estimating stochastic differential equations efficiently by minimum chi-squared163 cited
• 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier143 cited
• 2005Statistical Romberg extrapolation: A new variance reduction method and applications to option pricing134 cited
• 2014Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation109 cited
• 1995Sensitivity Analysis for Monte Carlo Simulation of Option Pricing106 cited
• 2002Transition Densities of Diffusion Processes105 cited
• 2006A Comparison of Biased Simulation Schemes for Stochastic Volatility Models105 cited
• 2009Gamma expansion of the Heston stochastic volatility model103 cited
• 2004Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals93 cited
• 2002The Euler scheme with irregular coefficients91 cited
• 2009Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff78 cited
• 2013Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations78 cited
• 2003Numerical solution of jump-diffusion LIBOR market models