Numerical Integration: From Simple Sums to Quasi-Random Sequences
Chapter 81 tackles a problem that looks simple on the surface but gets surprisingly deep: how do you calculate a multi-dimensional integral when you cannot do it with pen and paper? If you can write an option price as an integral (and for many European options on multiple assets, you can), then all you need is a good way to evaluate that integral numerically. Wilmott shows three approaches, and the last one is genuinely clever.