In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction … technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD …

This paper proposes a new method for pricing American options that uses importance sampling to reduce estimator bias …. Our numerical results show that this method successfully reduces the bias plaguing the standard importance sampling method …

We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi …-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte …. Moreover, we combine it with the importance sampling to reduce the variance of the Greeks. Finally, we study the impact of the …