I'm not sure how to understand/interpret the "dimensionality" of a pricing problem.
Is it just the number of stochastic variables or do the number of times the underlying is observed affect dimensionality?
e.g. a single-asset geometric brownian barrier option monitered discretely at the end of each day for 30 days - is that 30 dimensional or 1 dimensional?
e.g.2. a 2-asset spread option (geometric brownians) which only pays if the spread is above a certain level (barrier) for N days in a row (monitered at the end of each day) - is this 2 dimensional or 2T dimensional?
Really appreciate your time
Is it just the number of stochastic variables or do the number of times the underlying is observed affect dimensionality?
e.g. a single-asset geometric brownian barrier option monitered discretely at the end of each day for 30 days - is that 30 dimensional or 1 dimensional?
e.g.2. a 2-asset spread option (geometric brownians) which only pays if the spread is above a certain level (barrier) for N days in a row (monitered at the end of each day) - is this 2 dimensional or 2T dimensional?
Really appreciate your time
