Functional quantization for numerics with an application to option pricing
From MaRDI portal
Publication:3367274
DOI10.1515/156939605777438578zbMath1161.91402MaRDI QIDQ3367274
Gilles Pagès, Jacques Printems
Publication date: 24 January 2006
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/156939605777438578
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- A space quantization method for numerical integration
- Functional quantization of Gaussian processes
- On the link between small ball probabilities and the quantization problem for Gaussian measures on Banach spaces
- Foundations of quantization for probability distributions
- Quantization of probability distributions under norm-based distortion measures
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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