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. © Springer-Verlag Berlin Heidelberg 2012.
CITATION STYLE
Pagès, G., & Wilbertz, B. (2012). Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options. In Springer Proceedings in Mathematics (Vol. 12, pp. 171–213). https://doi.org/10.1007/978-3-642-25746-9_6
Mendeley helps you to discover research relevant for your work.