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