Pricing via recursive quantization in stochastic volatility models

DOI10.1080/14697688.2016.1255348MaRDI QIDQ4555112zbMATH OpenOpenAlexFDO

Authors Giorgia Callegaro, Lucio Fiorin, Martino Grasselli

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2016.1255348

zbMATH Keywords

equity volatility optionMonte Carlo methodquantizationstochastic volatility modelvanilla options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Quantization meets Fourier: a new technology for pricing options
• Quantization methods for stochastic differential equations
• Quantization goes polynomial
• Stochastic volatility models with application in option pricing
• Option pricing for stochastic volatility models: vol-of-vol expansion

Cites work

• A backward Monte Carlo approach to exotic option pricing
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A fast calibrating volatility model for option pricing
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
• Comparative analysis of artificial neural network models: Application in bankruptcy prediction
• Foundations of quantization for probability distributions
• Functional quantization for numerics with an application to option pricing
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• Modeling the dynamics of credit spreads with stochastic volatility
• Optimal Delaunay and Voronoi quantization schemes for pricing American style options
• Optimization of code book in vector quantization
• Pricing exotic derivatives exploiting structure
• Pricing of barrier options by marginal functional quantization
• Recursive marginal quantization of the Euler scheme of a diffusion process
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Stock price distributions with stochastic volatility: an analytic approach
• The -hypergeometric stochastic volatility model
• The pricing of options on assets with stochastic volatilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Valuing American options by simulation: a simple least-squares approach

Cited in

(14)

• Recursive computation of piecewise constant volatilities
• Estimating the counterparty risk exposure by using the Brownian motion local time
• Three kinds of discrete approximations of statistical multivariate distributions and their applications
• Quantization methods for stochastic differential equations
• A fully quantization-based scheme for FBSDEs
• Properties and generation of representative points of the exponential distribution
• Product Markovian quantization of a diffusion process with applications to finance
• Quantization meets Fourier: a new technology for pricing options
• Recursive marginal quantization of higher-order schemes
• Conic quantization: stochastic volatility and market implied liquidity
• Quantization goes polynomial
• Stationary Heston model: calibration and pricing of exotics using product recursive quantization
• Quantization of stochastic volatility models: numerical tests and an open source implementation
• Improved algorithm for the optimal quantization of single- and multivariate random functions

This page was built for publication: Pricing via recursive quantization in stochastic volatility models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4555112)