http://k3qu5kyz6zhz5w64m5ez22iqcrw7rci7dccmjuofmoilhpx3gqfip4ad.onion?page_id=MultiDimensionMargrabe
Once this C is found, denote A.Inverse[C] by R
i-th row of Y by yi
i-th column of R by ri
i-th row of N by Ni
(i-th, i-th) entry of D by Di
standard normal accumulated distribution function by Normal we have: E[Exp[A.X], {B.X<=k}]
= E[Exp[R.Y], {y1<=k}]
= E[Exp[r1.y1], {y1<=k}]E[Exp[r2.y2]]E[Exp[r3.y3]]...E[Exp[rn.yn]]
= Normal[(k-(N1+D1.r1))/Sqrt[D1]].Exp[N1.r1 + 1/2 r1^2.D1].Exp[N2.r2 + 1/2 r2^2.D2]...Exp[Nn.rn + 1/2 rn^2.Dn]
=...