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A Solution to the Multidimensionality in Option Pricing

Author

Listed:
  • 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)

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.

Suggested Citation

  • Moawia Alghalith & Wing-Keung Wong, 2025. "A Solution to the Multidimensionality in Option Pricing," Economic Growth Centre Working Paper Series 2505, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    • Handle: RePEc:nan:wpaper:2505
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    File URL: https://web.hss.ntu.edu.sg/egc/wp/2025/2025-05.pdf
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