A Reduction Method Applicable to Compound Option Formulas
提出一种更通用的降维公式，能大幅降低高维多元正态积分的计算成本，在金融期权定价中有多种应用。
Curnow and Dunnett (Curnow, R. N., C. W. Dunnett. 1962. The numerical evaluation of certain multivariate normal integrals. Ann. Math. Statist. 33 571–579.) derive a reduction formula for multivariate normal integrals with a certain type of correlation matrix. This paper presents a more general reduction formula which can reduce substantially the computational cost of high dimension integrals. This method has a number of applications in option pricing theory in finance.