American quantized calibration in stochastic volatility

Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems

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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