Deng, Qinwen and Wu, Hongying and Wu, Yang and Zhou, Zhiqiang (2022) Monte Carlo Simulation for Option Pricing with Multiple Assets. In: Proceedings of the International Conference on Information Economy, Data Modeling and Cloud Computing, ICIDC 2022, 17-19 June 2022, Qingdao, China.
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Abstract
It is a challenged topic of option pricing with multi-asset. This paper uses Monte Carlo (MC) simulation to valuate options which possess multiple assets. Firstly, given correlative coefficients, an algorithm to generate normal distributed random variables is established. Then, MC scheme is proposed
| Item Type: | Conference or Workshop Item (UNSPECIFIED) |
|---|---|
| Date Deposited: | 04 Mar 2026 15:42 |
| Last Modified: | 17 Apr 2026 05:03 |
| URI: | http://eprints.eai.eu/id/eprint/40471 |
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