Optimal Quantization Methods and Applications to Numerical Problems in Finance

Author:

Pagès Gilles,Pham Huyên,Printems Jacques

Publisher

Birkhäuser Boston

Reference22 articles.

1. Bally V. (2002): The Central Limit Theorem for a non-linear algorithm based on quantization, forthcoming in Proceedings of the Royal Society.

2. Bally V., Pagès G. (2000): A quantization algorithm for solving discrete time multidimensional optimal stopping problems, pre-print LPMA-628, Laboratoire de Probabilités & Modèles Aléatoires, Universités Paris 6&7 (France), to appear in Bernoulli.

3. Bally V., Pagès G. (2003): Error analysis of the quantization algorithm for obstacle problems, Stochastic Processes and their Applications, 106,n01, 1–47.

4. Bally V, Pagès G., Printems J. (2001): A stochastic quantization method for nonlinear problems, Monte Carlo Methods and Applications, 7,n01-2, 21–34.

5. Bally V, Pagès G., Printems J. (2002): A quantization method for pricing and hedging multi-dimensional American style options, pre-print LPMA-753, Laboratoire de Probabilités&Modèles Aléatoires, Université Paris 6&7 (France), to appear in Mathematical Finance.

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