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Pricing of barrier options by marginal functional quantization
barrier options marginal functional quantization
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2011/3/2
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization
method. From a known useful representation of the premium of barrier options one deduces an
algorithm simila...
The Nyström method for functional quantization with an application to the fractional Brownian motion
integral equation Nyströ m method Gaussian semi-martingale functional quantization
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2010/12/1
In this article, the so-called "Nyström method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion ...