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Open Access
Article
Publication date: 31 May 2005
Hosam Ki and Junhwa Ban
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…
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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.
Details
Journal of Derivatives and Quantitative Studies, vol. 13 no. 1
Type: Research Article
ISSN: 2713-6647