Synopsis :
This research project is involved with the applications of Transported Quantization to the Heston Process. The road map is
- Compute Transported Quantizers of Heston process
- Use them for performant Monte Carlo integration formulas
- Use them for performant American Pricing algorithms, also for the nearly degenerate case.
- Use them for performant calibration algorithm, that is a transported variant of Avallaneda's work.
Ressources :
- Reference Paper : Transported Heston
- Code ressources :
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- Dedicated Forum.
Related :
- A mathematical note giving some insights over this project and current development.
- A mathematical draft giving some insight over Quantizers.
Status :
Under Progress.