Quantization Goes Polynomial
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Publisher
Elsevier BV
Reference13 articles.
1. The Jacobi Stochastic Volatility Model
2. Real Valued Affine Diffusions
3. A quantization tree method for pricing and hedging multidimensional American options;V Bally;Mathematical finance,2005
4. A backward Monte Carlo approach to exotic option pricing;G Bormetti;European Journal of Applied Mathematics,2017
5. Quantized calibration in local volatility;G Callegaro;Risk Magazine,2015
Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data;Applied Mathematical Finance;2020-07-03
2. Option pricing with orthogonal polynomial expansions;Mathematical Finance;2019-07-11
3. Polynomial Jump-Diffusion Models;SSRN Electronic Journal;2017
4. Markov Cubature Rules for Polynomial Processes;SSRN Electronic Journal;2016
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