Quantized calibration in local volatility

Quantization is applied to price vanilla and barrier options



Quantization is a widely used tool in information theory, cluster analysis, pattern and speech recognition, numerical integration, data mining and, as in our case, numerical probability. The birth of optimal quantization dates back to the 1950s, when the necessity to optimise signal transmission, by appropriate discretisation procedures, arose.

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: