Pricing basket options using Monte Carlo simulation employing Cholesky decomposition and variance reduction techniques under the 2D stochastic Black–Scholes equation
This paper examines and applies the Monte Carlo approach to the two-dimensional Black–Scholes partial differential equation, including the Cholesky decomposition to generate correlated Brownian motions to evaluate options on two underlying assets. This study focuses on assessing the performance and...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2025-09-01
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| Series: | Partial Differential Equations in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2666818125001974 |
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