Quantization meets Fourier: a new technology for pricing options
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Publication:2288923
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Cites work
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Cited in
(12)- Modular pricing of options. An application of Fourier analysis
- Multiple yield curve modelling with CBI processes
- Smiles \& smirks: volatility and leverage by jumps
- A fully quantization-based scheme for FBSDEs
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- Fourier transform methods in finance.
- Pricing via recursive quantization in stochastic volatility models
- Conic quantization: stochastic volatility and market implied liquidity
- Quantization goes polynomial
- Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
- On randomization of affine diffusion processes with application to pricing of options on VIX and S\&P 500
- Quantization of stochastic volatility models: numerical tests and an open source implementation
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