http://k3qu5kyz6zhz5w64m5ez22iqcrw7rci7dccmjuofmoilhpx3gqfip4ad.onion?page_id=MultiDimensionMargrabe
Example We want to calculate E[Exp[(x1-x2+x3+x4], {x1+x2+x3-x4<=k}] where mean and covariance of x1, x2, x3, x4 is 1 2 3 4 and 1 0.1 0.1 0.1 0.1 1 0.1 0.1 0.1 0.1 1 0.1 0.1 0.1 0.1 1 By the above notation, we have: M= 1 2 3 4 S= 1 0.1 0.1 0.1 0.1 1 0.1 0.1 0.1 0.1 1 0.1 0.1 0.1 0.1 1 A= 1 -1 1 1 B= 1 1 1 -1 Therefore, V= 1 1 1 -1 0 1 0 0 0 0 1 0 0 0 0 1 G= 4 1.1 1.1 -0.7 1.1 1 0.1 0.1 1.1 0.1 1 0.1 -0.7 0.1 0.1 1 L= 1 0 0 0 -0.275 1 0 0 -0.35483871 0.290322581 1 0 0.5 -0.590909091 -0.590909091 1 C=LV= 1 1...