First-order schemes in the numerical quantization method

Mathematical Finance

Volumn 13, Issue 1, 2003, Pages 1-16

  Bally, V ^c   Pages G ^a   Printems, J ^b  

^a SORBONNE UNIVERSITÉ   (France)

^b Centre de Mathématique   (France)

^c NONE

Author keywords

American options; Malliavin calculus; Numerical quantization

Indexed keywords

EID: 0141971260     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.t01-1-00002     Document Type: Conference Paper

References (7)

1. BALLY, V., G. PAGÈS, and J. PRINTEMS (2001): A Stochastic Quantization Method for Nonlinear Problems, Monte Carlo Meth. Appl. 7, 1-2, 21-34.
2. BALLY, V., G. PAGÈS, 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. & Modèles aléatoires, Univ. Paris 6 (France).
3. BALLY, V., and G. PAGÈS (2000): A Quantization Algorithm for Solving Multi-Dimensional Optimal Stopping Problems. Preprint 628, Laboratoire de Probabilités & Modèles aléatoires, Université Paris 6 (France), forthcoming in Bernouilli.
4. BALLY, V., and G. PAGÈS (2001): Error Analysis of the Quantization Algorithm for Obstacle Problems. Preprint 642, Laboratoire de Probabilités & Modèles Aléatoires, Université Paris 6 (France), forthcoming in Stoch. Process Appl.
5. GRAF, S., and H. LUSCHGY (2000): Foundations of Quantization for Probability Distributions, Lecture Notes in Mathematics n°1730. Berlin: Springer
6. PAGÈS, G. (1997): A Space Vector Quantization Method for Numerical Integration. J. Appl. Computat. Math. 89, 1-38.
7. VILLENEUVE, S., and A. ZANETTE (2002): Parabolic A.D.I. Methods for Pricing American Option on Two Stocks, Math. Oper. Res. 27(1), 121-149.