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Recursive marginal quantization: extensions and applications in finance
Quantization techniques have been used in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering problems and the efficient calibration of large derivative books. Recursive marginal quantization of an Eu...
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| Format: | Thesis |
| Language: | English |
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African Inst. of Fin. Markets and Risk Mngnt
2018
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