Resumen de Efficient basket Monte Carlo option pricing via a simple analytical approximation

Ralf Korn, Serkan Zeytun

• We present a new valuation method for basket options that is based on a limiting approximation of the arithmetic mean by the geometric mean. Using this approximation combined with a new analytical pricing formula for an approximating geometric meanbased option as a control variate, excellent performance for Monte Carlo pricing in a control variate setting is obtained.