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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38 pages. 2011
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Gilles Pagès, Benedikt Wilbertz. Optimal Delaunay and Voronoi quantization schemes for pricing American style options. 38 pages. 2011. 〈hal-00572709〉

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