Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options

Springer Proceedings in Mathematics

Volumn 12, Issue , 2012, Pages 171-213

  Pagès, Gilles ^a   Wilbertz, Benedikt ^a  

^a SORBONNE UNIVERSITÉ   (France)

Author keywords

American option; Backward dynamic programming; Delaunay trian gulation; Dual quantization; Numerical integration; Optimal vector quantization; Voronoi tessellation; Zador's theorem

Indexed keywords

AMERICAN OPTIONS; DELAUNAY; DUAL QUANTIZATION; NUMERICAL INTEGRATIONS; VORONOI TESSELLATIONS; ZADOR'S THEOREM;

DYNAMIC PROGRAMMING; NUMERICAL METHODS; VECTOR QUANTIZATION;

OPTIMIZATION;

EID: 84893582379     PISSN: 21905614     EISSN: 21905622     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-642-25746-9_6     Document Type: Conference Paper

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