A Monte Carlo multi-asset option pricing approximation for general stochastic processes

DOI10.1016/j.chaos.2016.02.019zbMath1415.91312OpenAlexW3122819542MaRDI QIDQ508289

Alan De Genaro, Juan C. Arismendi

Publication date: 10 February 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: http://eprints.maynoothuniversity.ie/10203/1/JAZ-Multi-asset-2016.pdf

zbMATH Keywords

higher-order momentsEdgeworth expansionmulti-asset option pricingmultivariate risk management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Multivariate elliptical truncated moments ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ Complexity in quantitative finance and economics ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

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