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
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- The pricing of options and corporate liabilities
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- Title not available (Why is that?)
- Option pricing when underlying stock returns are discontinuous
- On Multivariate Edgeworth Expansions
- Statistical-Mechanical Foundation of the Ubiquity of Lévy Distributions in Nature
- Density approximations for multivariate affine jump-diffusion processes
- Closed form approximations for spread options
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
- On non-Gaussianity and dependence in financial time series: a nonextensive approach
- Multi-asset spread option pricing and hedging
- Generalized Box–MÜller Method for Generating $q$-Gaussian Random Deviates
- Analytic approximations for multi-asset option pricing
- Central limit theorem and deformed exponentials
- Moment swaps
- Smoothed functional algorithms for stochastic optimization using \(q\)-Gaussian distributions
- Gram-Charlier densities: a multivariate approach
- Generalized Gram-Charlier series with application to the sum of log-normal variates (Corresp.)
- A theory of non‐Gaussian option pricing
- The log-normal approximation in financial and other computations
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 that?)
- 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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