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

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

zbMATH Keywords

higher-order moments; Edgeworth expansion; multi-asset option pricing; multivariate risk management

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

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