On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices

DOI10.1016/j.cor.2006.02.020zbMath1139.91336OpenAlexW2090990773MaRDI QIDQ2384584

Xun Li, Zhenyu Wu

Publication date: 10 October 2007

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2006.02.020

zbMATH Keywords

approximationhigh-dimensionalmean-revertingBasket option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (1)

A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance

Cites Work

• Unnamed Item
• Mean-variance hedging in continuous time
• Pricing of arithmetic basket options by conditioning.
• A Theory of the Term Structure of Interest Rates
• Quasi-Monte Carlo Methods in Numerical Finance
• On a semi-spectral method for pricing an option on a mean-reverting asset
• An equilibrium characterization of the term structure

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