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Recursive marginal quantization of higher-order schemes
11 references·0 citing·41 second hop
Recursive marginal quantization of higher-order schemes (2018)Recursive marginal quantization of higher…A backward Monte Carlo approach to exotic option pricing (2017)A backward Monte Carlo approa…Pricing via recursive quantization in stochastic volatility models (2016)Pricing via recursive quantiz…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process (2015)Recursive Marginal Quantizati…A comparison of biased simulation schemes for stochastic volatility models (2009)A comparison of biased simula…Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation (2007)Constant elasticity of varian…Numerical Methods in Finance (2005)Numerical Methods in FinanceOptimal Quantization Methods and Applications to Numerical Problems in Finance (2004)Optimal Quantization Methods …AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS (2004)AN OPTIMAL MARKOVIAN QUANTIZA…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Computing the Constant Elasticity of Variance Option Pricing Formula (1989)Computing the Constant Elasti…The valuation of options for alternative stochastic processes (1976)Stock Returns and the Term Structure (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Parametrix Approximation of Diffusion Transition Densities (2010)Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model (2011)Portfolio selection problem with multiple risky assets under the constant elasticity of variance model (2011)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Theory of the Term Structure of Interest Rates (1985)Complete Models with Stochastic Volatility (1998)Volatility skews and extensions of the Libor market model (2000)A jump to default extended CEV model: an application of Bessel processes (2006)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Stochastic Approximation Algorithms and Applications (1998)Numerical Methods for Stochastic Control Problems in Continuous Time (2001)On some recent aspects of stochastic control and their applications (2005)A forward–backward stochastic algorithm for quasi-linear PDEs (2006)Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications (2018)Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation (2005)Controlled Markov Processes and Viscosity Solutions (2005)Discretization and Simulation of the Zakai Equation (2006)WHEN ARE SWING OPTIONS BANG-BANG? (2010)The law of the Euler scheme for stochastic differential equations (1996)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Option Pricing with Orthogonal Polynomial Expansions (2017)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Product Markovian Quantization of a Diffusion Process with Applications to Finance (2018)Continuous Martingales and Brownian Motion (1999)A probabilistic numerical method for fully nonlinear parabolic PDEs (2011)Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (2012)First order strong approximations of scalar SDEs defined in a domain (2014)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)A spectral method for bonds (2006)Stochastic Life Annuities (2007)On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps (2011)
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References

  • 2016Numerical solution of stochastic differential equations5,095 cited
  • 2003Monte Carlo Methods in Financial Engineering3,829 cited
  • 1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
  • 2009A comparison of biased simulation schemes for stochastic volatility models316 cited
  • 2004Optimal Quantization Methods and Applications to Numerical Problems in Finance143 cited
  • 2004AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS66 cited
  • 2007Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation60 cited
  • 2005Numerical Methods in Finance41 cited
  • 2015Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process30 cited
  • 2016Pricing via recursive quantization in stochastic volatility models23 cited
  • 2017A backward Monte Carlo approach to exotic option pricing23 cited

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