Hi,Wondering if anyone can give a few pointers.Am simulation a basket on 8 indices with Monte Carlo and wanted to use Likelihood Ratio Method for greeks. Have found a good amount of material on using Likelihood Ratio for single asset simulation but was wondering if anyone had any good pointers to material on extending the technique to the multiasset situation.Thanks

QuoteOriginally posted by: ANORAKHi,Wondering if anyone can give a few pointers.Am simulation a basket on 8 indices with Monte Carlo and wanted to use Likelihood Ratio Method for greeks. Have found a good amount of material on using Likelihood Ratio for single asset simulation but was wondering if anyone had any good pointers to material on extending the technique to the multiasset situation.ThanksWell the likelihood ratio weights are the optimal (minimum variance) malliavin weights so all the literature on malliavin MC is useful reference see this for starters and Glasserman

Hi,Thanks for that, got a lot more info, but have a few more questions as a result! Hope no one minds.Looking at a couple of sources and going through the derivations, I am getting the weight for the delta on asset j to be:Where A is the Cholesky Decomposed COvariance Matrix, N is the vector of independent random numbers, S0 is the spot price of asset j and t is the time step in the first period.I just wanted to check if this what anyone else have used? or are there variations on it?Thanks