Pricing of Multi-Asset Options Using Monte Carlo Method

Generally, we price options by calculating the expected value of future cash flows, discounted with the appropriate risk-free interest rate. However, the closed-form solutions for many multi-asset options don´t exist. In this paper we consider the pricing of the multi-asset options by Monte Carlo method. As a test case, we take the quanto option for example, which is a typical multi-asset option. At the same time, we use the antithetic variates technique, a variance reduction technique, to increase simulation efficiency.