Robust product Markovian quantization
Ralph Rudd, Thomas A. McWalter, Jörg Kienitz and Eckhard Platen
| Year of publication: |
2022
|
|---|---|
| Authors: | Rudd, Ralph ; McWalter, Thomas A. ; Kienitz, Jörg ; Platen, Eckhard |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2022, 4, p. 55-78
|
| Subject: | vector quantization | recursive marginal quantization | option pricing | stochastic volatility | calibration | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2021.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014546287