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- W3124378912 abstract "Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation. In particular, very recently, recursive marginal quantization has been proven to be a flexible and versatile tool when applied to stochastic volatility processes. In this paper we apply for the first time quantization techniques to the family of polynomial processes, by exploiting their peculiar nature. We focus our analysis on the stochastic volatility Jacobi process, by presenting two alternative quantization procedures: the first is a new discretization technique, whose foundation lies on the polynomial structure of the underlying process and which is suitable for vanilla option pricing, the second is based on recursive marginal quantization and it allows for pricing of (vanilla and) exotic derivatives. We prove theoretical results to assess the induced approximation errors, and we describe in numerical examples practical tools for fast vanilla and exotic option pricing." @default.
- W3124378912 created "2021-02-01" @default.
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- W3124378912 date "2017-10-01" @default.
- W3124378912 modified "2023-09-27" @default.
- W3124378912 title "Quantization goes Polynomial" @default.
- W3124378912 hasPublicationYear "2017" @default.
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