First-Order Schemes in the Numerical Quantization Method

Author:

Bally V.,Pages G.,Printems J.

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference7 articles.

1. V. Bally, G. Pages, and J. Printems(2001 ): A Stochastic Quantization Method for Nonlinear Problems ,Monte Carlo Meth. Appl.7 , 1-2 , 21 -34 .

2. V. Bally, G. Pages, and J. Printems(2002 ): A Quantization Tree Method for Pricing and Hedging Multi-Dimensional American Options . Preprint de I'INRIA and preprint, Labo. de Proba. & Modeles aleatoires, Univ. Paris 6 (France).

3. V. Bally, and G. Pages(2000 ): A Quantization Algorithm for Solving Multi-Dimensional Optimal Stopping Problems . Preprint 628, Laboratoire de Probabilites & Modeles aleatoires, UniversiteParis 6 (France), forthcoming inBernouilli.

4. V. Bally, and G. Pages(2001 ): Error Analysis of the Quantization Algorithm for Obstacle Problems . Preprint 642, Laboratoire de Probabilites & Modeles Aleatoires, Universite Paris 6 (France), forthcoming inStoch. Process Appl.

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