Fei Xie, Zhijian He, Xiaoqun Wang. An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options. European Journal of Operational Research, 274(2):759-772, 2019. [doi]
@article{XieHW19,
title = {An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options},
author = {Fei Xie and Zhijian He and Xiaoqun Wang},
year = {2019},
doi = {10.1016/j.ejor.2018.10.030},
url = {https://doi.org/10.1016/j.ejor.2018.10.030},
researchr = {https://researchr.org/publication/XieHW19},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {274},
number = {2},
pages = {759-772},
}