Quadratic Optimal Functional Quantization of Stochastic Processes and Numerical Applications

DOI10.1007/978-3-540-74496-2_6MaRDI QIDQ3504217zbMATH OpenOpenAlexFDO

Authors Gilles Pagès

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

zbMATH Keywords

cubature formulaEuropean optionsfunctional quantizationGaussian processespricingquasi-Monte Carlo methodstochastic processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a Hilbert-valued random variable, using a nearest neighbour projection on a finite codebook. A special emphasis is made on the computational aspects and the numerical applications, in particular the pricing of some path-dependent European options.

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Cited in

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