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• W3121561538 abstract "Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the basket, spread, and Asian options. The option price is expressed as a quadrature integration of analytic multi-asset BSM prices under a single Brownian motion. Then the state space is rotated in such a way that the quadrature requires much coarser nodes than it would otherwise or low varying dimensions are reduced. The accuracy and efficiency of the method is illustrated through various numerical experiments." @default.
• W3121561538 created "2021-02-01" @default.
• W3121561538 creator A5050373012 @default.
• W3121561538 date "2018-03-30" @default.
• W3121561538 modified "2023-10-02" @default.
• W3121561538 title "Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options" @default.
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• W3121561538 doi "https://doi.org/10.1002/fut.21909" @default.
• W3121561538 hasPublicationYear "2018" @default.
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