Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options

DOI10.1007/978-3-642-25746-9_6zbMath1247.91199OpenAlexW71501308MaRDI QIDQ2917431

Gilles Pagès, Benedikt Wilbertz

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_6

zbMATH Keywords

numerical integrationDelaunay triangulationVoronoi tessellationAmerican optionZador's theoremoptimal vector quantizationdual quantizationbackward dynamic programing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical quadrature and cubature formulas (65D32) Optimal stopping in statistics (62L15) (L^p)-limit theorems (60F25)

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