Abstract
In this paper we develop a numerical method for valuing multivariate European contingent claims whose payoffs depend on more than one log-normal stochastic variables. This is achieved by means of Gauss-Hermite Integrations, applied to the principal component analysis of correlation matrix to improve our computation speed. Several examples are discussed to compare with other methods.
Keywords
Citation
Ki, H. and Ban, J. (2005), "An Efficient Numerical Integration Method for Basket Option Pricing", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 13 No. 1, pp. 53-76. https://doi.org/10.1108/JDQS-01-2005-B0003
Publisher
:Emerald Publishing Limited
Copyright © 2005 Emerald Publishing Limited
License
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode