University of Florence
Multi-asset barrier contracts are path-dependent exotic options consisting of two or more underlying assets. As the dimensions of an option increase, so does the mathematical complexity of a closed form solution. Monte Carlo (MC) methods offer an attractive solution under such conditions. MC methods have an O(n-1/2) convergence rate irrespective of the dimension of the integral. However, such methods using conventional computing with CPUs are not scalable enough to enable banks to realize the potential that these exotic options promise.