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Quadratic optimal functional quantization of stochastic processes and numerical applications

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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https://hal.archives-ouvertes.fr/hal-00158846
Contributor : Gilles Pagès <>
Submitted on : Friday, June 29, 2007 - 5:50:31 PM
Last modification on : Wednesday, December 9, 2020 - 3:17:11 PM
Long-term archiving on: : Thursday, April 8, 2010 - 10:09:52 PM

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Gilles Pagès. Quadratic optimal functional quantization of stochastic processes and numerical applications. Quadratic optimal functional quantization of stochastic processes and numerical applications, Aug 2006, Ulm, Germany. pp.101-142, ⟨10.1007/978-3-540-74496-2_6⟩. ⟨hal-00158846⟩

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