Fast Quantization of Stochastic Volatility Models-Reference-Cited by-同舟云学术

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Fast Quantization of Stochastic Volatility Models

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Rudd Ralph,McWalter Thomas A,Kienitz Joerg,Platen Eckhard

Publisher

Elsevier BV

Reference22 articles.

1. The little Heston trap;H Albrecher;KU Leuven Section of Statistics Technical Report,2006

2. A backward Monte Carlo approach to exotic option pricing;G Bormetti;Available at SSRN 2686115,2016

3. Pricing and Calibration in Local Volatility Models Via Fast Quantization

4. Quantized calibration in local volatility;G Callegaro;Risk Magazine,2015

5. Pricing via Quantization in Stochastic Volatility Models

Cited by 3 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. Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing;Mathematical Finance;2023-08-07

2. Stationary Heston model: calibration and pricing of exotics using product recursive quantization;Quantitative Finance;2022-02-18

3. Robust product Markovian quantization;The Journal of Computational Finance;2022

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