We develop a highly efficient MC method for computing plain vanilla European option prices and hedging parameters under a very general jump-diffusion option pricing model which includes stochastic variance and multi-factor Gaussian interest short rate(s). The focus of our MC approach is variance...

One-way coupling often occurs in multi-dimensional models in finance. In this paper, we present a dimension reduction technique for Monte Carlo (MC) methods, referred to as drMC, that exploits this structure for pricing plain-vanilla European options under a N-dimensional one-way coupled model,...

One-way coupling often occurs in multi-dimensional stochastic models in finance. In this paper, we develop a highly efficient Monte Carlo (MC) method for pricing European options under a N-dimensional one-way coupled model, where N is arbitrary. The method is based on a combination of (i) the...