BFS 2002 

Contributed Talk 
Per Hörfelt
This talk studies the relative error in the crude
Monte Carlo pricing of some familiar European path
dependent multi asset options. For the crude Monte
Carlo method, it is wellknown that the convergence
rate $O(n^{1/2})$, where $n$ is the number of simu
lations, is independent of the dimension of the
integral. We show that for a large class of pricing
problems in the multiasset BlackScholes market
also the constant in $O(n^{1/2})$ is independent
of the dimension. The main tool to prove this result
is the isoperimetric inequality for Wiener measure.