Quantization goes polynomial

Giorgia Callegaro, Lucio Fiorin and Andrea Pallavicini

Quantitative Finance, 2021, vol. 21, issue 3, 361-376

Abstract: Recursive marginal quantization has a high convergence rate in numerical approximation of stochastic volatility option pricing models

Date: 2021
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Working Paper: Quantization goes Polynomial (2019)
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DOI: 10.1080/14697688.2020.1828608

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