Error analysis of the optimal quantization algorithm for obstacle problems
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References listed on IDEAS
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Philip Protter & Emmanuelle Clément & Damien Lamberton, 2002. "An analysis of a least squares regression method for American option pricing," Finance and Stochastics, Springer, vol. 6(4), pages 449-471.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- BALLY Vlad & PAGÈS Gilles & PRINTEMS Jacques, 2001. "A stochastic quantization method for nonlinear problems," Monte Carlo Methods and Applications, De Gruyter, vol. 7(1-2), pages 21-34, December.
- Pagès Gilles & Printems Jacques, 2003. "Optimal quadratic quantization for numerics: the Gaussian case," Monte Carlo Methods and Applications, De Gruyter, vol. 9(2), pages 135-165, April.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bouchard, Bruno & Chassagneux, Jean-François, 2008. "Discrete-time approximation for continuously and discretely reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2269-2293, December.
- Gobet, Emmanuel & Makhlouf, Azmi, 2010. "-time regularity of BSDEs with irregular terminal functions," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1105-1132, July.
- Bruno Bouchard & Jean-François Chassagneux & Géraldine Bouveret, 2016. "A backward dual representation for the quantile hedging of Bermudan options," Post-Print hal-01069270, HAL.
- Crisan, D. & Manolarakis, K. & Touzi, N., 2010. "On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1133-1158, July.
- Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
- repec:eee:spapps:v:128:y:2018:i:3:p:847-883 is not listed on IDEAS
- Gassiat, Paul & Kharroubi, Idris & Pham, Huyên, 2012. "Time discretization and quantization methods for optimal multiple switching problem," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2019-2052.
- Labart Céline & Lelong Jérôme, 2013. "A parallel algorithm for solving BSDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 19(1), pages 11-39, March.
- Olivier Aj Bardou & Sandrine Bouthemy & Gilles Pag`es, 2007. "Optimal quantization for the pricing of swing options," Papers 0705.2110, arXiv.org.
More about this item
KeywordsNumerical probability Optimal stopping Snell envelope Optimal quantization of random variables Reflected backward stochastic differential equation American option pricing;
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