Quantization of stochastic volatility models: numerical tests and an open source implementation

DOI10.1016/J.MATCOM.2024.04.030MaRDI QIDQ6993857zbMATH OpenFDO

Authors Alessandro Fina, Alessandro Gnoatto, Athena Picarelli

Publication date 25 April 2025

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.MATCOM.2024.04.030

zbMATH Keywords

option pricingquantizationstochastic volatility models

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites work

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