Error analysis of the optimal quantization algorithm for obstacle problems

Stochastic Processes and their Applications

Volumn 106, Issue 1, 2003, Pages 1-40

  Bally, Vlad ^a,b   Pagès, Gilles ^c  

^a UNIVERSITÉ DU MAINE   (France)

^b INRIA ROCQUENCOURT   (France)

^c SORBONNE UNIVERSITÉ   (France)

Author keywords

American option pricing; Numerical probability; Optimal quantization of random variables; Optimal stopping; Reflected backward stochastic differential equation; Snell envelope

Indexed keywords

EID: 0037843726     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(03)00026-7     Document Type: Article

References (20)

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