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

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  • Raymond Ross

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.

Suggested Citation

  • Raymond Ross, 1998. "Good point methods for computing prices and sensitivities of multi-asset European style options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(2), pages 83-106.
    • Handle: RePEc:taf:apmtfi:v:5:y:1998:i:2:p:83-106
    DOI: 10.1080/135048698334664
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    References listed on IDEAS

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    1. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
    2. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
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