A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
By Vlad Bally, Gilles Pagès, Jacques Printems. 2005
196 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f2c7aa20ac079b3a5ce5ea45be3f65bd08c9c2b0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Franccois Delarue
- M. Ludkovski
- René A. Carmona
- Stéphane Menozzi
- Daniel Lacker
- Shige Peng
- Markus Fischer
- François Delarue
In Finance
- Franccois Delarue
- M. Ludkovski
- René A. Carmona
- Stéphane Menozzi
- Daniel Lacker
- Shige Peng
- Huyen Pham
- François Delarue
Citations in the corpus
- Numerical simulation of quadratic BSDEs (2013, unknown): “We refer to [26, 37] for general results about quantization and [2] for application to American options pricing and to [17] for application to coupled forward– backward SDEs.”
- A Forward-Backward Stochastic Algorithm For Quasi-Linear PDEs (2006, methodology): “In the works of Bally and Pagès [2] or Bally, Pagès and Printems [3] on American options, the key idea is to perform an optimal quantization procedure of a discretized version of the underlying diffusion process in order to compute once for all by a Monte Carlo method the corresponding semigroup.”
- Pricing Asset Scheduling Flexibility using Optimal Switching (2008, methodology): “This approach includes (b) the Markov Chain approximation method of Kushner and Dupuis (2001) and (c) the Optimal Quantization technique of Bally et al. (2005).”