A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets

DOI10.1007/S10436-005-0034-7zbMath1233.91283OpenAlexW1997143099MaRDI QIDQ665717

Xun Li, Zhenyu Wu

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-005-0034-7

zbMATH Keywords

stochastic volatilitymaximumminimumhigh-dimensional optionsmean-reverting

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction

Cites Work

• Unnamed Item
• Mean-variance hedging in continuous time
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The Greatest of a Finite Set of Random Variables

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