Publications

Authors:

Fina, Alessandro; Gnoatto, Alessandro; Picarelli, Athena

Title:

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

Year:

2024

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Referee:

No

Name of journal:

MATHEMATICS AND COMPUTERS IN SIMULATION

ISSN of journal:

0378-4754

Page numbers:

1-26

Keyword:

Quantization, stochastic volatility, Euler scheme, option pricing

Short description of contents:

The aim of this paper is to discuss the implementation of the recursive marginal quantization algorithm of [FPS2018] to several stochastic volatility models. After recalling the theoretical framework and the main features of the method, we evaluate the performance of the algorithm for the pricing of derivatives. We also discuss an open source implementation of the algorithm. For most models we consider, with the exception of the Stein and Stein model, recursive marginal quantization provides a viable alternative to Monte Carlo simulations.

Product ID:

139641

Handle IRIS:

11562/1126530

Last Modified:

November 22, 2024

Bibliographic citation:

Fina, Alessandro; Gnoatto, Alessandro; Picarelli, Athena, Quantization of stochastic volatility models: Numerical tests and an open source implementation «MATHEMATICS AND COMPUTERS IN SIMULATION» , 2024 , pp. 1-26

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