A quantization algorithm for solving multi-dimensional discrete-time optimal stopping problems

Bernoulli

Volumn 9, Issue 6, 2003, Pages 1003-1049

  Bally, Vlad ^a   Pagès, Gilles ^b  

^a UFR des Sciences et Technologie   (France)

^b SORBONNE UNIVERSITÉ   (France)

Author keywords

American option pricing; Markov chains; Numerical probability; Quantization of random variables; Reflected backward stochastic differential equation; Snell envelope

Indexed keywords

EID: 2342581211     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1072215199     Document Type: Article

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