Recursive marginal quantization of higher-order schemes

DOI10.1080/14697688.2017.1402125zbMath1400.91604arXiv1701.02681OpenAlexW2578428697MaRDI QIDQ4554449

Eckhard Platen, J. Kienitz, Thomas Andrew McWalter, Robert E. Rudd

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.02681

zbMATH Keywords

reflectiontruncationvector quantizationEuler schemeMilstein schemerecursive marginal quantizationweak order 2.0 scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Quantization meets Fourier: a new technology for pricing options ⋮ New weak error bounds and expansions for optimal quantization ⋮ Conic quantization: stochastic volatility and market implied liquidity ⋮ Quantization goes polynomial ⋮ A fully quantization-based scheme for FBSDEs

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