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Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation

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1997Monte Carlo methods for security pricing856 cited
2003Employee Reload Options: Pricing, Hedging, and Optimal Exercise55 cited
2002Asymptotics of hitting probabilities for general one-dimensional pinned diffusions38 cited
2004Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme38 cited
2006Barrier options and their static hedges: simple derivations and extensions34 cited
2012A general control variate method for option pricing under Lévy processes31 cited
2003Pricing Barrier Options with One-Factor Interest Rate Models22 cited
2006Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes

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18 cited

1999Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance16 cited

2014Fast and simple method for pricing exotic options using Gauss–Hermite quadrature on a cubic spline interpolation15 cited

2017A numerical method for pricing discrete double barrier option by Legendre multiwavelet15 cited