A Monte Carlo multi-asset option pricing approximation for general stochastic processes
From MaRDI portal
Publication:508289
DOI10.1016/j.chaos.2016.02.019zbMath1415.91312MaRDI QIDQ508289
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
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
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