Chiarella, Carl; El-Hassan, Nadima; Kucera, Adam - Society for Computational Economics - SCE - 2000
We formulate European and American versions of a number of two-factor multiasset options (such as exchange options, quanto options and basket options) in a path integral framework via use of the Chapman-Kolmogorov equation. We show how to evaluate such options using Fourier-Hermite expansions...