Quantization of stochastic volatility models: Numerical tests and an open source implementation-Reference-Cited by-同舟云学术

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Quantization of stochastic volatility models: Numerical tests and an open source implementation

Published:2024-11 Issue: Volume:225 Page:29-51
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Fina Alessandro,Gnoatto Alessandro^ORCID,Picarelli Athena^ORCID

Publisher

Elsevier BV

Reference25 articles.

1. Error analysis of the optimal quantization algorithm for obstacle problems;Bally;Stochastic Process. Appl.,2003

2. A quantization algorithm for solving multi-dimensional discrete-time optimal stopping problems;Bally;Bernoulli,2003

3. A stochastic quantization method for nonlinear problems;Bally;Monte Carlo Methods Appl.,2001

4. A quantization tree method for pricing and hedging multidimensional american options;Bally;Math. Finance,2005

5. Multi-asset American options and parallel quantization;Bronstein;Methodol. Comput. Appl. Probab.,2013

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