Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options (Q2917431): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_6 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W71501308 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the existence of optimal quantizers (Corresp.) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some remarks on the existence of optimal quantizers / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic quantization method for nonlinear problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: A quantization algorithm for solving multidimensional discrete-time optimal stopping problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error analysis of the optimal quantization algorithm for obstacle problems. / rank
 
Normal rank
Property / cites work
 
Property / cites work: First-Order Schemes in the Numerical Quantization Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Quantization for the Pricing of Swing Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: WHEN ARE SWING OPTIONS BANG-BANG? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence of the one-dimensional Kohonen algorithm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3997575 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Self-organization and a.s. convergence of the one-dimensional Kohonen algorithm with non-uniformly distributed stimuli / rank
 
Normal rank
Property / cites work
 
Property / cites work: How to speed up the quantization tree algorithm with an application to swing options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multidimensional asymptotic quantization theory with<tex>r</tex>th power distortion measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Limit theorems for random normalized distortion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional quantization-based stratified sampling methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Expected time analysis for Delaunay point location / rank
 
Normal rank
Property / cites work
 
Property / cites work: Grid generation and optimization based on centroidal Voronoi tessellations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic algorithms / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Algorithm for Finding Best Matches in Logarithmic Expected Time / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discretization and Simulation of the Zakai Equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4271995 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Foundations of quantization for probability distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3221723 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponential rate of convergence for Lloyd's method I / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional quantization rate and mean regularity of processes with an application to Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast randomized point location without preprocessing in two- and three-dimensional Delaunay triangulations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The hexagon theorem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4484914 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A space quantization method for numerical integration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3374068 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal quadratic quantization for numerics: the Gaussian case / rank
 
Normal rank
Property / cites work
 
Property / cites work: AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal quantization methods for nonlinear filtering with discrete-time observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Quantization for Finance: From Random Vectors to Stochastic Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Intrinsic Stationarity for Vector Quantization: Foundation of Dual Quantization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sharp Rate for the Dual Quantization Problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantization and the method of<tex>k</tex>-means / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quantization Based Filtering Method Using First Order Approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sufficient conditions for uniqueness of a locally optimal quantizer for a class of convex error weighting functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic quantization error of continuous signals and the quantization dimension / rank
 
Normal rank

Latest revision as of 17:15, 5 July 2024

scientific article
Language Label Description Also known as
English
Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
scientific article

    Statements

    Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options (English)
    0 references
    0 references
    0 references
    28 September 2012
    0 references
    American option
    0 references
    backward dynamic programing
    0 references
    Delaunay triangulation
    0 references
    dual quantization
    0 references
    numerical integration
    0 references
    optimal vector quantization
    0 references
    Voronoi tessellation
    0 references
    Zador's theorem
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references