A solution to the multidimensionality in option pricing

Moawia Alghalith and Wing Keung Wong

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 7, 2477-2482

Abstract: We provide an accurate, simple formula for pricing multidimensional European options. The formula is as simple as the Black-Scholes formula. Therefore, the (costly) computational methods are needless. Moreover, our method allows the calculation of the implied volatility of the underlying asset of a multidimensional option.

Date: 2024
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DOI: 10.1080/03610926.2022.2137680

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