Efficient basket Monte Carlo option pricing via a simple analytical approximation

DOI10.1016/j.cam.2012.10.035zbMath1258.91220OpenAlexW2067159205MaRDI QIDQ1936188

Serkan Zeytun, Ralf Korn

Publication date: 21 February 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.10.035

zbMATH Keywords

Monte Carlo methodBlack-Scholes modelvariance reduction methodsoptions based on arithmetic averagessum of log-normal distributions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ A hybrid Monte Carlo acceleration method of pricing basket options based on splitting ⋮ Pricing and hedging basket options with exact moment matching ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ A framework for robust measurement of implied correlation ⋮ Enhancing Accuracy of Deep Learning Algorithms by Training with Low-Discrepancy Sequences

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