http://k3qu5kyz6zhz5w64m5ez22iqcrw7rci7dccmjuofmoilhpx3gqfip4ad.onion?page_id=MultiDimensionMargrabe
How to find C First, start from S, we first change variable Z=V.X in this way z1=B.X, z2=x2, z3=x3,... , zn=xn. Denote covariance of Z by G, we have G=V.S.Transpose[V] Second, use the LowerUpperTriangleDecomposition algorithm on G, we have a lower triangle matrix L whose diagonal is 1 and a diagonal matrix D such that: D=L.G.Transpose[L] Therefore, D=L.G.Transpose[L]
=L.V.S.Transpose[V].Transpose[L]
=LV.S.Transpose[LV] LV is the C we want.