Offering a unique balance between applications and calculations, Monte Carlo Methods and
Models in Finance and Insurance incorporates the application background of finance and …

We consider a basket of options with both positive and negative weights in the case where
each asset has a smile, ie, evolves according to its own local volatility and the driving …

A new, very efficient and fairly simple simulation method for European basket and Asian
options under the geometric Brownian motion assumption is presented. It is based on a new …

By approximating the distribution of the sum of correlated lognormals with some log‐
extended‐skew‐normal distribution, we present closed‐form approximation formulae for …

Theoretical models applied to option pricing should take into account the empirical
characteristics of financial time series. In this paper, we show how to price basket options …

We propose an approximate static hedging procedure for multivariate derivatives. The
hedging portfolio is composed of statically held simple univariate options, optimally …

Funahashi and Kijima (in press, A chaos expansion approach for the pricing of contingent
claims, Journal of Computational Finance) have proposed an approximation method based …

Pricing multi-asset options has always been one of the key problems in financial
engineering because of their high dimensionality and the low convergence rates of pricing …

针对多个随机因子的欧式期权定价问题, 提出了一种基于主成分分析的多元控制变量的蒙特卡罗
加速框架. 其核心思想是, 使用单个主成分替换收益函数中的原始随机变量以便更易获得定价 …

Basket options have long been an important structured product. One can write a basket
option on assets denominated in different currencies, but settle the option in one single …