We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance...

We consider the integral of a function and its approximation by a quadrature rule of the form i.e. by a rule which uses the values of both and its derivative at nodes of the quadrature rule. We examine the cases when the integrand is either a smooth function or an dependent function of the form...