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 qua