A quantization tree method for pricing and hedging multidimensional american options

Mathematical Finance

Volumn 15, Issue 1, 2005, Pages 119-168

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

^a UFR des Sciences et Technologie   (France)

^b SORBONNE UNIVERSITÉ   (France)

^c UNIVERSITÉ PARIS EST CRÉTEIL   (France)

Author keywords

American option pricing; Local volatility model; Optimal quantization; Optimal stopping; Snell envelope

Indexed keywords

EID: 14544269364     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2005.00213.x     Document Type: Article

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