Quantization goes Polynomial


Quantization algorithms have been recently successfully adopted in option pricing problems to speed up Monte Carlo simulations thanks to the high convergence rate of the numerical approximation. In particular, recursive... [ view full abstract ]


  1. Giorgia Callegaro (University of Padova)
  2. Lucio Fiorin (University of Padova)
  3. Andrea Pallavicini (Imperial College London)

Topic Areas

Numerical Methods , Options , Polynomial Processes


MO-P-BU » Affine & Polynomial Processes: Applications (14:30 - Monday, 16th July, Burke Theater)

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