How to speed up the quantization tree algorithm with an application to swing options (Q2994841): Difference between revisions

@@ Property / cites work @@
+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+WHEN ARE SWING OPTIONS BANG-BANG?
@@ Property / cites work: WHEN ARE SWING OPTIONS BANG-BANG? / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Quantization for the Pricing of Swing Options
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
+Normal rank
@@ Property / cites work @@
+An Algorithm for Finding Best Matches in Logarithmic Expected Time
+Normal rank
@@ Property / cites work @@
+Foundations of quantization for probability distributions
+Normal rank
@@ Property / cites work @@
+Valuation of Commodity-Based Swing Options
@@ Property / cites work: Valuation of Commodity-Based Swing Options / rank @@
+Normal rank
@@ Property / cites work @@
+Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function
+Normal rank
@@ Property / cites work @@
+A space quantization method for numerical integration
+Normal rank
@@ Property / cites work @@
+Optimal quadratic quantization for numerics: the Gaussian case
+Normal rank
@@ Property / cites work @@
+Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
+Normal rank
@@ Property / cites work @@
+A central limit theorem for k-means clustering
@@ Property / cites work: A central limit theorem for k-means clustering / rank @@
+Normal rank