BFS 2002 |
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Contributed Talk |
Per Hörfelt
This talk studies the relative error in the crude
Monte Carlo pricing of some familiar European path-
dependent multi asset options. For the crude Monte
Carlo method, it is well-known that the convergence
rate $O(n^{-1/2})$, where $n$ is the number of simu-
lations, is independent of the dimension of the
integral. We show that for a large class of pricing
problems in the multi-asset Black-Scholes market
also the constant in $O(n^{-1/2})$ is independent
of the dimension. The main tool to prove this result
is the isoperimetric inequality for Wiener measure.