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

Raymond Ross

Applied Mathematical Finance, 1998, vol. 5, issue 2, 83-106

Abstract: 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.

Keywords: Low Discrepancy Sequences; Option Pricing; Numerical Integration, (search for similar items in EconPapers)
Date: 1998
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DOI: 10.1080/135048698334664

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