Good point methods for computing prices and sensitivities of multi-asset European style options

Using number-theoretic methods, we investigate low-discrepancy sequences and weighted-sum estimators which outperform standard low-discrepancy techniques for pricing multi-asset European options on up to 5 underlying factors. The sequences used are simpler to implement than most low-discrepancy sequences, and computation time is considerably faster.

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Year of publication:	1998
Authors:	Ross, Raymond
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 5.1998, 2, p. 83-106
Publisher:	Taylor & Francis Journals
Subject:	Low Discrepancy Sequences \| Option Pricing \| Numerical Integration

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005462507