12 citations · 13 across the 2 of their papers we have counts for
3 papers
Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization
Vincent Lemaire, Thibaut Montes, Gilles Pagès
A major drawback of the Standard Heston model is that its implied volatility surface does not produce a steep enough smile when looking at short maturities. For that reason, we int…
Quantization-based Bermudan option pricing in the world
Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes +1
This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Rever…
New Weak Error bounds and expansions for Optimal Quantization
Vincent Lemaire, Thibaut Montes, Gilles Pagès
We propose new weak error bounds and expansion in dimension one for optimal quantization-based cubature formula for different classes of functions, such that piecewise affine funct…