Multi-asset American options and parallel quantization (Q370907): Difference between revisions

@@ Property / DOI @@
-.1007/s11009-011-9265-4
@@ Property / DOI: 10.1007/s11009-011-9265-4 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C50
@@ Property / Mathematics Subject Classification ID: 65C50 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+Y05
@@ Property / Mathematics Subject Classification ID: 65Y05 / rank @@
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@@ Property / zbMATH DE Number @@
+6209861
@@ Property / zbMATH DE Number: 6209861 / rank @@
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@@ Property / zbMATH Keywords @@
+American options
@@ Property / zbMATH Keywords: American options / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal quantization
@@ Property / zbMATH Keywords: optimal quantization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+parallel computing
@@ Property / zbMATH Keywords: parallel computing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Romberg extrapolation
@@ Property / zbMATH Keywords: Romberg extrapolation / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11009-011-9265-4
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@@ Property / OpenAlex ID @@
+W2077333964
@@ Property / OpenAlex ID: W2077333964 / rank @@
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@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+A stochastic quantization method for nonlinear problems
+Normal rank
@@ Property / cites work @@
+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+Optimal Quantization for the Pricing of Swing Options
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+Normal rank
@@ Property / cites work @@
+Q4271995
@@ Property / cites work: Q4271995 / rank @@
+Normal rank
@@ Property / cites work @@
+Foundations of quantization for probability distributions
+Normal rank
@@ Property / cites work @@
+Distortion mismatch in the quantization of probability measures
+Normal rank
@@ Property / cites work @@
+LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
+Normal rank
@@ Property / cites work @@
+Exponential rate of convergence for Lloyd's method I
+Normal rank
@@ Property / cites work @@
+Asymptotic quantization error of continuous signals and the quantization dimension
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+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 stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
+Normal rank
@@ Property / cites work @@
+Parabolic ADI Methods for Pricing American Options on Two Stocks
+Normal rank
@@ Property / DOI @@
+.1007/S11009-011-9265-4
@@ Property / DOI: 10.1007/S11009-011-9265-4 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:370907