Pricing via Quantization in Stochastic Volatility Models
Year of publication: |
2015
|
---|---|
Authors: | Callegaro, Giorgia |
Other Persons: | Fiorin, Lucio (contributor) ; Grasselli, Martino (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (27 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 29, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2669734 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Improving the term structure of interest rates : two-factor models
Gómez-Valle, Lourdes, (2010)
-
Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel, (2016)
-
Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih, (2014)
- More ...
-
Quantization Meets Fourier : A New Technology for Pricing Options
Callegaro, Giorgia, (2017)
-
Pricing and Calibration in Local Volatility Models via Fast Quantization
Callegaro, Giorgia, (2017)
-
Quantization meets Fourier : a new technology for pricing options
Callegaro, Giorgia, (2019)
- More ...