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

DOI10.1016/J.CHAOS.2016.02.019zbMATH Open1415.91312OpenAlexW3122819542MaRDI QIDQ508289FDOQ508289

Authors 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

Edgeworth expansionhigher-order momentsmulti-asset option pricingmultivariate risk management

Mathematics Subject Classification ID

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

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Cites Work

• scientific article; zbMATH DE number 45789 (Why is no real title available?)
• A theory of non‐Gaussian option pricing
• Analytic approximations for multi-asset option pricing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Central limit theorem and deformed exponentials
• Closed form approximations for spread options
• Density approximations for multivariate affine jump-diffusion processes
• Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates
• Generalized Gram-Charlier series with application to the sum of log-normal variates (Corresp.)
• Gram-Charlier densities: a multivariate approach
• Moment swaps
• Multi-asset spread option pricing and hedging
• On Multivariate Edgeworth Expansions
• On non-Gaussianity and dependence in financial time series: a nonextensive approach
• Option pricing when underlying stock returns are discontinuous
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Smoothed functional algorithms for stochastic optimization using \(q\)-Gaussian distributions
• Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
• The log-normal approximation in financial and other computations
• The pricing of options and corporate liabilities

Cited In (14)

• Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
• Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
• An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
• Multi-name assets exchange option pricing simulation based on pair-copulas
• 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
• Multivariate elliptical truncated moments
• Title not available (Why is no real title available?)
• Multilevel Monte Carlo for Asian options and limit theorems
• A moment-based analytic approximation of the risk-neutral density of American options
• SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS
• A fast Monte Carlo scheme for additive processes and option pricing
• Complexity in quantitative finance and economics
• Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure

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