In this paper we propose the first calibration exercise based on quantization methods. Pricing and calibration are typically difficult tasks to accomplish: pricing should be fast and accurate, otherwise calibration cannot be performed efficiently. We apply in a local volatility context the...

In this paper we introduce a novel pricing methodology for a broad class of models for which the characteristic function of the log-asset price can be efficiently computed. The new method avoids the numerical integration required by the Fourier-based approaches and reveals to be fast and...

In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the...

We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction of a discrete multinomial tree. The crucial feature of...

In this paper we introduce a new technology for the pricing of European options for a wide class of models. The method is based on a quantization technique that exploits the knowledge of the characteristic function for the price process in closed form, and is quick and accurate enough to...

In this paper we introduce a new jump-diffusion model for stock prices, which takes into account over and under-reaction of the market to incoming news. The jumps' impact on the assets dynamics is twofold: on one hand we use a Poisson process as a driver to obtain discontinuous trajectories and...

We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pagès and Sagna (2018) so that our approach is fully based on recursive marginal quantization and does not involve any Monte Carlo simulation for the computation of...