Product Markovian quantization of a diffusion process with applications to finance
type: Item
instance of: scholarly article
title: Product Markovian quantization of a diffusion process with applications to finance
zbMATH Open document ID: 1437.60047
author: Lucio Fiorin
author: Gilles Pagès
author: Abass Sagna
published in: Methodology and Computing in Applied Probability
publication date: 2020-05-04T00:00:00Z
full work available at URL: https://arxiv.org/abs/1511.01758
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7196055
zbMATH Keywords: pricing
zbMATH Keywords: quantization
zbMATH Keywords: stochastic volatility model
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: option pricing
MaRDI profile type: Publication
OpenAlex ID: W2885386668
arXiv ID: 1511.01758
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Wikidata QID: Q129364425
DOI: 10.1007/S11009-018-9652-1
description: scientific article