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Quantization goes polynomial.

Authors :
Callegaro, Giorgia
Fiorin, Lucio
Pallavicini, Andrea
Source :
Quantitative Finance. Mar2021, Vol. 21 Issue 3, p361-376. 16p.
Publication Year :
2021

Abstract

Recursive marginal quantization has a high convergence rate in numerical approximation of stochastic volatility option pricing models [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*STOCHASTIC approximation
*POLYNOMIALS

Details

Language :
English
ISSN :
14697688
Volume :
21
Issue :
3
Database :
Academic Search Index
Journal :
Quantitative Finance
Publication Type :
Academic Journal
Accession number :
148627233
Full Text :
https://doi.org/10.1080/14697688.2020.1828608
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