Optimal quadratic quantization for numerics: the Gaussian case

DOI10.1515/156939603322663321zbMath1029.65012OpenAlexW1979253219MaRDI QIDQ4432548

Publication date: 27 October 2003

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939603322663321

zbMATH Keywords

numerical examples Gaussian distribution Newton method mathematical finance optimal quantization stochastic gradient methods multi-asset American option pricing numericla integration

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Approximations to statistical distributions (nonasymptotic) (62E17) Numerical quadrature and cubature formulas (65D32)

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