The Review of Financial Studies, Vol. 2, No. 2 (1989), pp. 241-250 (10 pages) We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an ...

We shall show that, for certain correlation structures, the multivariate normal c.d.f. in the integrand factorizes into a product of lower-order normal c.d.f.'s. The results may be useful in instances ...