Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities

Pricing multi-asset options has always been one of the key problems in financial engineering because of their high dimensionality and the low convergence rates of pricing algorithms. This paper studies a method to accelerate Monte Carlo (MC) simulations for pricing multi-asset options with stochasti...

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Bibliographic Details
Main Authors: Yijuan Liang, Xiuchuan Xu
Format: Article
Language:English
Published: MDPI AG 2019-02-01
Series:Sustainability
Subjects:
Online Access:https://www.mdpi.com/2071-1050/11/3/815