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)

zbMATH Keywords

option pricingquantizationstochastic volatility models

Mathematics Subject Classification ID

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

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