Title | Quadratic optimal functional quantization of stochastic processes and numerical applications |
Publication Type | Miscellaneous |
Year of Publication | 2007 |
Authors | Gilles Pagès |
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. |