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Evaluating of path-dependent securities with low discrepancy methods
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code8,233 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1990Econometric Models and Economic Forecasts4,945 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1987Stochastic Simulation2,240 cited
  • 1981The demand for deductibles in private health insurance1,367 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1980Partial observability in bivariate probit models549 cited
  • 2002Monte Carlo methods in finance459 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 1996Quasi-Monte Carlo Methods in Numerical Finance243 cited
  • 1998Implementing derivatives models

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