Functional quantization for numerics with an application to option pricing

Monte Carlo Methods and Applications

Volumn 11, Issue 4, 2005, Pages 407-446

  Pagès, Gilles ^a,b   Printems, Jacques ^b,c  

^a SORBONNE UNIVERSITÉ   (France)

^b INRIA   (France)

^c UNIVERSITÉ PARIS EST CRÉTEIL   (France)

Author keywords

Asian option; Brownian motion; Functional quantization; Heston model; Karhunen Lo ve expansion; Product quantizers; Romberg extrapolation; SDE; Stochastic volatility

Indexed keywords

EID: 47349085628     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1163/156939605777438578     Document Type: Article

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