

American quantized calibration in stochastic volatility
Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems
CLICK HERE TO DOWNLOAD THE PDF
To listen to the authors discussing this paper, click here.
Here, Giorgia Callegaro, Lucio Fiorin and Martino Grasselli apply the recursive marginal quantization methodology to the pricing of vanillas and American-style options. They then calibrate the Heston model to a book of Google stock derivatives that includes American-style options
This paper constitutes the sequel to Callegaro et al (2015). In that paper we calibrated a local volatility model using a
More on Derivatives
Most read on Risk.net
- Brexit novations ‘on hold’ to gain reg relief
- Banks hope final FRTB rules will ease NMRF burden
- Functional programming reaches for stardom in finance
- Mifid data publishers drag feet on Esma guidelines
- People moves: Bank of America names new Apac chiefs, Wilkinson leaves LGIM, Lloyds loses Coutte, and more
Back to Top