Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

@article{Filipovic2019WeightedMC,
title={Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing},
author={D. Filipovic and K. Glau and Y. Nakatsukasa and Francesco Statti},
journal={Derivatives eJournal},
year={2019}
}

We propose a methodology for computing single and multi-asset European option prices, and more generally expectations of scalar functions of (multivariate) random variables. This new approach combines the ability of Monte Carlo simulation to handle high-dimensional problems with the efficiency of function approximation. Specifically, we first generalize the recently developed method for multivariate integration in [arXiv:1806.05492] to integration with respect to probability measures. The… Expand