英文标题：
《Sum of all Black-Scholes-Merton models: An efficient pricing method for
spread, basket, and Asian options》
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作者：
Jaehyuk Choi
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最新提交年份：
2018
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英文摘要：
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.
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中文摘要：
与普遍认为由于维数灾难而无法进行精确定价的观点相反，本研究提出了一种在多变量Black-Scholes-Merton（BSM）模型下期权定价的有效统一方法，如篮子期权、价差期权和亚式期权。期权价格表示为单一布朗运动下解析多资产BSM价格的正交积分。然后，状态空间以这样的方式旋转，使得求积需要比其他方式更粗糙的节点，或者降低了低变维。通过各种数值实验验证了该方法的准确性和有效性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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