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We develop a conditional sampling scheme for pricing knock-out barrieroptions under the Linear Transformations (LT) algorithm from Imai and Tan(2006). We compare our new method to an existing conditional Monte Carlo schemefrom Glasserman and Staum (2001), and show that a substantial variancereduction is achieved. We extend the method to allow pricing knock-in barrieroptions and introduce a root-finding method to obtain a further variancereduction. The effectiveness of the new method is supported by numericalresults.

Conditional sampling for barrier option pricing under the LT method