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- W145483478 abstract "We investigate in this paper the numerical performances of quadratic functional quantization and their applications to Finance. We emphasize the role played by the so-called product quantizers and the Karhunen-Loeve expansion of Gaussian processes. Numerical experiments are carried out on two classical pricing problems: Asian options in a Black-Scholes model and vanilla options in a stochastic volatility Heston model. Pricing based on ``crude functional quantization is very fast and produce accurate deterministic results. When combined with a Romberg $log$-extrapolation, it always outperforms Monte Carlo simulation for usual accuracy levels." @default.
- W145483478 created "2016-06-24" @default.
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- W145483478 date "2004-10-18" @default.
- W145483478 modified "2023-09-27" @default.
- W145483478 title "Functional quantization for pricing derivatives" @default.
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