Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Monte Carlo Methods and Path-Generation techniques for Pricing
  Multi-asset Path-dependent Options   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. This paper is a
survey of some recent enhancements to improve efficiency when pricing Asian
options by Monte Carlo simulation in the Black-Scholes model. We analyze the
dynamics with constant and time-dependent volatilities of the underlying asset
returns. We present a comparison between the precision of the standard Monte
Carlo method (MC) and the stratified Latin Hypercube Sampling (LHS). In
particular, we discuss the use of low-discrepancy sequences, also known as
Quasi-Monte Carlo method (QMC), and a randomized version of these sequences,
known as Randomized Quasi Monte Carlo (RQMC). The latter has proven to be a
useful variance reduction technique for both problems of up to 20 dimensions
and for very high dimensions. Moreover, we present and test a new path
generation approach based on a Kronecker product approximation (KPA) in the
case of time-dependent volatilities. KPA proves to be a fast generation
technique and reduces the computational cost of the simulation procedure.

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The categories of this paper are: solv-int
27
The categories of this paper are: comp-gas
18
The categories of this paper are: econ
7
The categories of this paper are: hep-th
28
The categories of this paper are: alg-geom
4
The categories of this paper are: cond-mat
26
The categories of this paper are: bayes-an
20
The categories of this paper are: acc-phys
6
The categories of this paper are: astro-ph
0
The categories of this paper are: hep-ph
15
The categories of this paper are: nucl-ex
29
The categories of this paper are: funct-an
5
The categories of this paper are: gr-qc
3
The categories of this paper are: physics
21
The categories of this paper are: adap-org
32
The categories of this paper are: atom-ph