1. Multi-asset options

2. Pricing model

3. Ito lemma

5. Continuous dividend case

6. American style

7. Exchange option

8. similarity reduction

9. Reduced model

10. Closed form solution

11. Other examples

12. Options on many underlying

14. Ito Lemma

16. Quanto options

21. Binomial model

22. Determination of p1,p2,p3,p4 see Kwok (1998) [pp 207-208]

23. Monte-Carlo Simulation Monte-Carlo simulation is based on the risk- neutral valuation result. The expected payoff in a risk-neutral world is calculated using a sampling procedure. It is then discounted at the risk-free interest rate.

24. 1. Sample a random path for in a risk-neutral world. 2. Calculate the payoff from the derivative. 3. Repeat steps one and two to get many sample values of the payoff from the derivative in a risk- neutral world. 4. Calculate the mean of the sample payoffs to get an estimate of the expected payoff in a risk-neutral world. 5. Discount the expected payoff at the risk-free rate to get an estimate of the value of the derivative.