Pubblicazioni

Autori:

Fina, Alessandro; Gnoatto, Alessandro; Picarelli, Athena

Titolo:

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

Anno:

2024

Tipologia prodotto:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Lingua:

Inglese

Referee:

No

Nome rivista:

MATHEMATICS AND COMPUTERS IN SIMULATION

ISSN Rivista:

0378-4754

Intervallo pagine:

1-26

Parole chiave:

Quantization, stochastic volatility, Euler scheme, option pricing

Breve descrizione dei contenuti:

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.

Id prodotto:

139641

Handle IRIS:

11562/1126530

ultima modifica:

22 novembre 2024

Citazione bibliografica:

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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