Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications

DOI10.1007/978-3-540-74496-2_6zbMath1141.65327arXiv0706.4450OpenAlexW1552662758MaRDI QIDQ3504217

Gilles Pagès

Publication date: 11 June 2008

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2006 (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.4450

zbMATH Keywords

stochastic processesGaussian processesquasi-Monte Carlo methodpricingcubature formulaEuropean optionsfunctional quantization

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24)

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