A Step Beyond the Monte Carlo Method in Economics: Application of Multivariate Normal Distribution.

In this paper we discuss the numerical algorithm of Milev-Tagliani [25] used for pricing of discrete double barrier options. The problem can be reduced to accurate valuation of an n-dimensional path integral with probability density function of a multivariate normal distribution. The efficient solution of this problem with the Milev-Tagliani algorithm is a step beyond the classical application of Monte Carlo for option pricing. We explore continuous and discrete monitoring of asset path pricing, compare the error of frequently applied quantitative methods such as the Monte Carlo method and finally analyze the accuracy of the Milev-Tagliani algorithm by presenting the profound research and important results of Y. Honga, S. Leeb and T. Li [16]. [ABSTRACT FROM AUTHOR]