Functional quantization for numerics with an application to option pricing
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A space quantization method for numerical integration
- Foundations of quantization for probability distributions
- Functional quantization of Gaussian processes
- scientific article; zbMATH DE number 994345 (Why is no real title available?)
- scientific article; zbMATH DE number 5010399 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 467196 (Why is no real title available?)
- On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces
- Quantization of probability distributions under norm-based distortion measures
Cited in
(49)- High resolution quantization and entropy coding of jump processes
- The coding complexity of Lévy processes
- Greedy vector quantization
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
- Optimal quantization for some triadic uniform Cantor distributions with exact bounds
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- Product Markovian quantization of a diffusion process with applications to finance
- On conditional cuts for stochastic dual dynamic programming
- Quantization meets Fourier: a new technology for pricing options
- Data-driven stochastic inversion via functional quantization
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
- Partial functional quantization and generalized bridges
- High-resolution product quantization for Gaussian processes under sup-norm distortion
- Functional quantization of a class of Brownian diffusions: a constructive approach
- A forward-backward stochastic algorithm for quasi-linear PDEs
- From empirical observations to tree models for stochastic optimization: convergence properties
- An introduction to particle methods with financial applications
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- The upper and lower quantization coefficient for Markov-type measures
- Asymptotically optimal quantization schemes for Gaussian processes on Hilbert spaces
- Convergence of multi-dimensional quantized SDEs
- Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
- Some new simulations schemes for the evaluation of Feynman–Kac representations
- Reduced basis techniques for stochastic problems
- Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
- Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
- Optimal quadratic quantization for numerics: the Gaussian case
- Pricing via recursive quantization in stochastic volatility models
- A backward Monte Carlo approach to exotic option pricing
- Recursive marginal quantization of the Euler scheme of a diffusion process
- Quantization goes polynomial
- Short communication: projection of functionals and fast pricing of exotic options
- Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
- Distortion mismatch in the quantization of probability measures
- Brownian motion simulation: a quantization approach
- Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method
- Pricing of barrier options by marginal functional quantization
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Introduction to vector quantization and its applications for numerics
- Signature-Based Models: Theory and Calibration
- Functional quantization of rough volatility and applications to volatility derivatives
- A constructive sharp approach to functional quantization of stochastic processes
- Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
- Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
- Tree approximation of scenario processes for multistage stochastic optimization: algorithms and fast implementations
- Improved algorithm for the optimal quantization of single- and multivariate random functions
- Joint SPX \& VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
- Approximating stochastic volatility by recombinant trees
- Infinite-dimensional quadrature and approximation of distributions
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