Improved algorithm for the optimal quantization of single- and multivariate random functions
Author
Abstract
Suggested Citation
DOI: 10.1016/j.amc.2024.129028
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Miranda, Manuel J. & Bocchini, Paolo, 2015. "A versatile technique for the optimal approximation of random processes by Functional Quantization," Applied Mathematics and Computation, Elsevier, vol. 271(C), pages 935-958.
- Pagès, Gilles & Sagna, Abass, 2018. "Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 847-883.
- T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2018.
"Recursive marginal quantization of higher-order schemes,"
Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 693-706, April.
- T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2017. "Recursive Marginal Quantization of Higher-Order Schemes," Papers 1701.02681, arXiv.org.
- Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2017. "Pricing via recursive quantization in stochastic volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 855-872, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021.
"A Fully Quantization-based Scheme for FBSDEs,"
Working Papers
07/2021, University of Verona, Department of Economics.
- Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Papers 2105.09276, arXiv.org.
- Callegaro, Giorgia & Gnoatto, Alessandro & Grasselli, Martino, 2023. "A fully quantization-based scheme for FBSDEs," Applied Mathematics and Computation, Elsevier, vol. 441(C).
- Fina, Alessandro & Gnoatto, Alessandro & Picarelli, Athena, 2024. "Quantization of stochastic volatility models: Numerical tests and an open source implementation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 225(C), pages 29-51.
- Vincent Lemaire & Thibaut Montes & Gilles Pagès, 2019. "New Weak Error bounds and expansions for Optimal Quantization," Working Papers hal-02361644, HAL.
- Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
- Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2020. "Robust Product Markovian Quantization," Papers 2006.15823, arXiv.org.
- Vincent Lemaire & Thibaut Montes & Gilles Pag`es, 2020. "Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization," Papers 2001.03101, arXiv.org, revised Jul 2020.
- Vincent Lemaire & Thibaut Montes & Gilles Pagès, 2020. "New Weak Error bounds and expansions for Optimal Quantization," Post-Print hal-02361644, HAL.
- Gilles Pagès & Thibaut Montes & Vincent Lemaire, 2020. "Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization," Working Papers hal-02434232, HAL.
- Vincent Lemaire & Thibaut Montes & Gilles Pagès, 2022. "Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization," Post-Print hal-02434232, HAL.
- Jean-Franc{c}ois Chassagneux & Mohan Yang, 2021. "Numerical approximation of singular Forward-Backward SDEs," Papers 2106.15496, arXiv.org.
- Long-Hao Xu & Kai-Tai Fang & Ping He, 2022. "Properties and generation of representative points of the exponential distribution," Statistical Papers, Springer, vol. 63(1), pages 197-223, February.
- Lucio Fiorin & Gilles Pagès & Abass Sagna, 2019. "Product Markovian Quantization of a Diffusion Process with Applications to Finance," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1087-1118, December.
- Jean-Michel Fayolle & Vincent Lemaire & Thibaut Montes & Gilles Pag`es, 2019. "Quantization-based Bermudan option pricing in the $FX$ world," Papers 1911.05462, arXiv.org, revised May 2020.
- Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
- Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2021.
"Quantization goes polynomial,"
Quantitative Finance, Taylor & Francis Journals, vol. 21(3), pages 361-376, March.
- Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2017. "Quantization goes Polynomial," Papers 1710.11435, arXiv.org, revised Dec 2019.
- Jean-Franc{c}ois Chassagneux & Junchao Chen & Noufel Frikha, 2022. "Deep Runge-Kutta schemes for BSDEs," Papers 2212.14372, arXiv.org.
- Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2018. "Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts," Papers 1801.07044, arXiv.org, revised Jan 2018.
- Bonollo, Michele & Di Persio, Luca & Oliva, Immacolata, 2020.
"A quantization approach to the counterparty credit exposure estimation,"
International Review of Economics & Finance, Elsevier, vol. 70(C), pages 335-356.
- M. Bonollo & L. Di Persio & I. Oliva & A. Semmoloni, 2015. "A Quantization Approach to the Counterparty Credit Exposure Estimation," Papers 1503.01754, arXiv.org.
- Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras, 2021. "Stability of backward stochastic differential equations: the general case," Papers 2107.11048, arXiv.org, revised Apr 2023.
More about this item
Keywords
Multivariate random process; Functional quantization; Centroidal Voronoi tessellation; Autocorrelation and crosscorrelation function; Correlation coefficient;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:486:y:2025:i:c:s0096300324004892. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.