MPS-RR 2001-7
February 2001
We propose pricing methods for European-style Asian arithmetic average basket options in a Black-Scholes framework based on a QMC metod. The nature of QMC metods enables us to enchance the accuracy by decomposing the correlation structure of the noise in the problem using singular value decomposition. This leads to optimal utilization of the low discrepancy sequence, and gives several orders of magnitude enchanced performance over conventional QMC and standard MC methods.
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