A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289)
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scientific article; zbMATH DE number 6683380
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| English | A Monte Carlo multi-asset option pricing approximation for general stochastic processes |
scientific article; zbMATH DE number 6683380 |
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A Monte Carlo multi-asset option pricing approximation for general stochastic processes (English)
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10 February 2017
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multi-asset option pricing
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multivariate risk management
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Edgeworth expansion
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higher-order moments
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0.7567923069000244
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0.7510855197906494
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0.750251054763794
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0.7423880100250244
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0.7382898926734924
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