Pricing via recursive quantization in stochastic volatility models

DOI10.1080/14697688.2016.1255348zbMath1402.91758OpenAlexW2565735128MaRDI QIDQ4555112

Giorgia Callegaro, Lucio Fiorin, Martino Grasselli

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2016.1255348

zbMATH Keywords

Monte Carlo methodquantizationvanilla optionsstochastic volatility modelequity volatility option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

Properties and generation of representative points of the exponential distribution ⋮ Recursive marginal quantization of higher-order schemes ⋮ Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ Product Markovian quantization of a diffusion process with applications to finance ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ Quantization meets Fourier: a new technology for pricing options ⋮ Three kinds of discrete approximations of statistical multivariate distributions and their applications ⋮ Conic quantization: stochastic volatility and market implied liquidity ⋮ Quantization goes polynomial ⋮ A fully quantization-based scheme for FBSDEs

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