European basket option pricing by maximizing over a subset of lower bounds

DOI10.2989/16073606.2012.742292zbMath1274.91430OpenAlexW1985133081MaRDI QIDQ2862816

Kailash C. Patidar, Peter J. Witbooi, Walter Mudzimbabwe

Publication date: 19 November 2013

Published in: Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2989/16073606.2012.742292

zbMATH Keywords

Monte Carlo simulationsconditioningvariance reductionantithetic variablesEuropean basket option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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