“…Several variants of the structuring approach have been proposed, with Acworth, Broadie, and Glasserman (1997) suggesting an approach based on the principal components of the covariance matrix of a discretely sampled Brownian motion, and Åkesson and Lehoczy (2000) extending the ideas to more general Gaussian processes. Caflisch, Morokoff, and Owen (1997) and Åkesson and Lehoczy (2000) report computational experience with integrals arising in pricing mortgage-backed securities, and Acworth, Broadie, and Glasserman (1997) also report experience with high-dimensional integrals arising in option pricing. The empirical consensus is that the above path generation schemes, when combined with quasiMonte Carlo, outperform ordinary Monte Carlo (MC) in many situations, sometimes by orders of magnitude.…”