Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
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Publication:3631198
DOI10.1016/S1570-8659(08)00015-xzbMath1180.91309MaRDI QIDQ3631198
Jacques Printems, Gilles Pagès
Publication date: 5 June 2009
Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)
numerical integrationGaussian processstochastic volatilityoption pricingMonte Carlo methodoptimal quadratic quantization
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Approximations to statistical distributions (nonasymptotic) (62E17) Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30)
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