[Quantlib-dev] Pricing multi asset option with monte carlo

[Joseph W. <jo...@gn...>]

I'm interested in pricing an option whose payoff is dependent on three 
coorelated underlying assets with a known covariance matrix using monte 
carlo.

Is there an example of this? 
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Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner