Optimal Delaunay and Voronoi quantization schemes for pricing American style options

Abstract : We review in this article pure quantization methods for the pricing of multiple exercise options. These quantization methods have the common advantage, that they allow a straightforward implementation of the Backward Dynamic Programming Principle for optimal stopping and stochastic control problems. Moreover we present here for the first time a unified discussion of this topic for Voronoi and Delaunay quantization and illustrate the performances of both methods by several numerical examples.
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https://hal.archives-ouvertes.fr/hal-00572709
Contributor : Gilles Pagès <>
Submitted on : Wednesday, March 2, 2011 - 2:19:32 PM
Last modification on : Friday, December 13, 2019 - 12:58:02 PM
Long-term archiving on: Thursday, June 30, 2011 - 1:05:14 PM

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Gilles Pagès, Benedikt Wilbertz. Optimal Delaunay and Voronoi quantization schemes for pricing American style options. 2011. ⟨hal-00572709⟩

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