Monte Carlo Methods and Path-Generation techniques for Pricing Multi-asset Path-dependent Options

Understand

We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations.

• As an example we develop our studies using Asian options.
• Asian options are derivative contracts in which the underlying variable is the average price of given assets sampled over a period of time.
• Due to this structure, Asian options display a lower volatility and are therefore cheaper than their standard European counterparts.