Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications
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Publication:3504217
DOI10.1007/978-3-540-74496-2_6zbMath1141.65327arXiv0706.4450MaRDI QIDQ3504217
Publication date: 11 June 2008
Published in: Monte Carlo and Quasi-Monte Carlo Methods 2006 (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0706.4450
stochastic processes; Gaussian processes; quasi-Monte Carlo method; pricing; cubature formula; European options; functional quantization
60G15: Gaussian processes
65C05: Monte Carlo methods
91B24: Microeconomic theory (price theory and economic markets)
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