Pricing of a derivative should be fast and accurate, otherwise it cannot be calibrated efficiently. Here, Giorgia Callegaro, Lucio Fiorin and Martino Grasselli apply a fast quantization methodology, in a local volatility context, to the pricing of vanilla and barrier options that overcomes the numerical problems in existing methods
Quantized calibration in local volatility
CALLEGARO, GIORGIA;FIORIN, LUCIO;GRASSELLI, MARTINO
2015
Abstract
Pricing of a derivative should be fast and accurate, otherwise it cannot be calibrated efficiently. Here, Giorgia Callegaro, Lucio Fiorin and Martino Grasselli apply a fast quantization methodology, in a local volatility context, to the pricing of vanilla and barrier options that overcomes the numerical problems in existing methodsFile in questo prodotto:
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