Recursive Marginal Quantization of Stochastic Volatility Models
We provide a full implementation of the recursive marginal quantization algorithm of Pagés et al. and apply it to a variety of stochastic volatility models in finance.
New models can be added by creating a suitable class in the package it.univr.models together with a parameter function class to be located in it.univr.model.parameters.
[1] Fina, A. Gnoatto, A., Picarelli, A. Quantization of Stochastic Volatility Models: Numerical Tests and an Open Source Implementation. Mathematics and Computers in Simulation. Accepted for publication. [SSRN]