Functional quantization for pricing derivatives
نویسندگان
چکیده
We investigate in this paper the numerical performances of quadratic functional quantization and their applications to Finance. We emphasize the rôle played by the so-called product quantizers and the Karhunen-Loève 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.
منابع مشابه
Numerical aspects of quadratic functional quantization: pricing Asian options
We investigate in this paper some numerical aspects of quadratic functional quantization of Gaussian processes, especially, the Brownian motion (and the Brownian bridge). We illustrate the numerical efficiency of functional quantization on the Asian option pricing in a Black & Scholes model.
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