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Quantization goes polynomial

Author

Listed:
  • Giorgia Callegaro
  • Lucio Fiorin
  • Andrea Pallavicini

Abstract

Recursive marginal quantization has a high convergence rate in numerical approximation of stochastic volatility option pricing models

Suggested Citation

  • Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2021. "Quantization goes polynomial," Quantitative Finance, Taylor & Francis Journals, vol. 21(3), pages 361-376, March.
    • Handle: RePEc:taf:quantf:v:21:y:2021:i:3:p:361-376
    DOI: 10.1080/14697688.2020.1828608
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    References listed on IDEAS

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    1. Damir Filipović & Martin Larsson & Sergio Pulido, 2016. "Markov Cubature Rules for Polynomial Processes," Swiss Finance Institute Research Paper Series 16-79, Swiss Finance Institute.
    2. Vlad Bally & Gilles Pagès & Jacques Printems, 2005. "A Quantization Tree Method For Pricing And Hedging Multidimensional American Options," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 119-168, January.
    3. Gilles Pagès & Abass Sagna, 2015. "Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(5), pages 463-498, November.
    4. 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.
    5. Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
    6. Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
    7. Aurélien Alfonsi, 2015. "Affine Diffusions and Related Processes: Simulation, Theory and Applications," Post-Print hal-03127212, HAL.
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