TITLE:
Evaluation the Price of Multi-Asset Rainbow Options Using Monte Carlo Method
AUTHORS:
A. Rasulov, R. Rakhmatov, A. Nafasov
KEYWORDS:
Monte Carlo Method, Multi Asset Options, Boundary Value Problems, Stochastic Differential Equations
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.4 No.1,
January
29,
2016
ABSTRACT: Solution of the system stochastic differential
equations in multi dimensional case using Monte Carlo method had many useful features
in compare with the other computational methods. One of them is the solution of
boundary value problems to be found at just one point, if required (with associated
saving in computation), whereas deterministic methods necessarily find the solution
at large number of points simultaneously. This property can be particularly useful
in problems such option pricing, where the value of an option is required only at
the time of striking, and for the state of the market at that time. In this work
we consider a European multi-asset options which mathematically described by the
system of stochastic differential equations. We will apply Monte Carlo method for
the solution of that system which is the price of Multi-asset rainbow options.