http://k3qu5kyz6zhz5w64m5ez22iqcrw7rci7dccmjuofmoilhpx3gqfip4ad.onion?page_id=MultiDimensionMargrabe
Sol The C# source code for this calculation is in the SourceCodeRepository . We want to calculate the integration over n-dimension space: E[Exp[A.X], {B.X < =k}] where A is of 1 by n matrix, B is of 1 by n matrix, X is of n by 1 matrix and entries of X is a multi-normal distribution with mean M, of n by 1 matrix, and covariance matrix S, of n by n matrix.