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Functional quantization for numerics with an application to option pricing

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
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2016Pricing via recursive quantization in stochastic volatility models23 cited

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2017A backward Monte Carlo approach to exotic option pricing23 cited

2015Optimal representation of multi-dimensional random fields with a moderate number of samples: Application to stochastic mechanics10 cited