Scenario tree generation for multiperiod financial optimization of optimal discretization (Q5944953)
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scientific article; zbMATH DE number 1655719
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Scenario tree generation for multiperiod financial optimization of optimal discretization |
scientific article; zbMATH DE number 1655719 |
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Scenario tree generation for multiperiod financial optimization of optimal discretization (English)
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20 June 2002
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This paper shows how a scenario tree can be constructed in an optimal manner based on a simulation model of the underlying continuous-state financial process. It presents a method of estimating a tree-structured approximation to a given stochastic process which minimizes the distance of objective functions.
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scenario tree
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multiperiod optimization
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transportation metric
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Wasserstein metric
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branch and bound
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