Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process

DOI10.1080/1350486X.2015.1091741zbMath1396.91805arXiv1304.2531MaRDI QIDQ4682490

Gilles Pagès, Abass Sagna

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.2531

zbMATH Keywords

Euler schemelocal volatilityoptimal quantizationrecursive marginal quantization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (10)

Recursive marginal quantization of higher-order schemes ⋮ Pricing via recursive quantization in stochastic volatility models ⋮ Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ A backward Monte Carlo approach to exotic option pricing ⋮ Product Markovian quantization of a diffusion process with applications to finance ⋮ Quantization meets Fourier: a new technology for pricing options ⋮ Conic quantization: stochastic volatility and market implied liquidity ⋮ Quantization goes polynomial ⋮ Convex order, quantization and monotone approximations of ARCH models ⋮ A fully quantization-based scheme for FBSDEs

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