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Product Markovian Quantization of a Diffusion Process with Applications to Finance |
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| Authors: | Fiorin Lucio Pagès Gilles Sagna Abass |
| Institution: | 1.Department of Mathematics, University of Padova, via Trieste 63, 35121, Padova, Italy ;2.Laboratoire de Probabilités, Statistique et Modélisation (LPSM), Sorbonne Université (formerly UPMC), UMR 8001, case 158, 4, pl. Jussieu, 75252, Paris Cedex 5, France ;3.ENSIIE & Laboratoire de Mathématiques et Modélisation d’Evry (LaMME), Université d’Evry Val-d’Essonne, UMR CNRS 8071, 23 Boulevard de France, 91037, Evry, France ; |
| Abstract: | Methodology and Computing in Applied Probability - We introduce a new methodology for the quantization of the Euler scheme for a d-dimensional diffusion process. This method is based on a Markovian... |
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