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={ERN: Options (Topic)},
  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

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