Transported Heston

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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 :

 Related :

  • A mathematical note giving some insights over this project and current development.
  • A mathematical draft giving some insight over Quantizers.

 

Status :

Under Progress.