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...

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...

We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly observe the development of the underlying macroeconomic...