A Solution to the Multidimensionality in Option Pricing

Moawia Alghalith and Wing-Keung Wong
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Moawia Alghalith: UWI, St Augustine
Wing-Keung Wong: Department of Finance, Fintech Center, and Big Data Research Center, Asia University; Department of Medical Research, China Medical University Hospital, Taiwan; Business, Economic and Public Policy Research Centre, Hong Kong Shue Yan University; The Economic Growth Centre, Nanyang Technological University

No 2505, Economic Growth Centre Working Paper Series from Nanyang Technological University, School of Social Sciences, Economic Growth Centre

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.

Pages: 15 pages
Date: 2025-05
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Persistent link: https://EconPapers.repec.org/RePEc:nan:wpaper:2505

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