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- Title
Pricing of barrier options by marginal functional quantization.
- Authors
Sagna, Abass
- Abstract
The article discusses the pricing of barrier options by the quadratic optimalquantization method. To represent the premium of barrier options algorithm is deduces similar to the one used to estimate non-linear filters using the optimal vector quantization method. Numerical tests are carried out in the Black-Scholes model and in a local volatility model and are compared to the Brownian bridge method.
- Subjects
GEOMETRIC quantization; AUTOMATIC differentiation; BROWNIAN bridges (Mathematics); QUADRATIC differentials; MATHEMATICAL analysis
- Publication
Monte Carlo Methods & Applications, 2011, Vol 17, Issue 4, p371
- ISSN
0929-9629
- Publication type
Article
- DOI
10.1515/mcma.2011.015