Error analysis of the optimal quantization algorithm for obstacle problems. (Q2574574)
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scientific article; zbMATH DE number 2233766
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| English | Error analysis of the optimal quantization algorithm for obstacle problems. |
scientific article; zbMATH DE number 2233766 |
Statements
Error analysis of the optimal quantization algorithm for obstacle problems. (English)
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29 November 2005
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numerical probability
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optimal stopping
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snell envelope
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optimal quantization of random variables
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reflected backward stochastic differential equation
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American option pricing
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0.8140611052513123
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0.8098308444023132
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0.8021103739738464
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0.7882081866264343
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0.7474284172058105
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