Product Markovian quantization of a diffusion process with applications to finance

DOI10.1007/s11009-018-9652-1zbMath1437.60047arXiv1511.01758OpenAlexW2885386668WikidataQ129364425 ScholiaQ129364425MaRDI QIDQ2176359

Gilles Pagès, Abass Sagna, Lucio Fiorin

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.01758

zbMATH Keywords

option pricingquantizationbackward stochastic differential equationpricingstochastic volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Quantization dimensions of compactly supported probability measures via Rényi dimensions ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Algorithmic trading in a microstructural limit order book model ⋮ Quantization meets Fourier: a new technology for pricing options ⋮ Conic quantization: stochastic volatility and market implied liquidity ⋮ Quantization goes polynomial ⋮ A fully quantization-based scheme for FBSDEs

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