Pricing path-dependent options using optimized functional quantization

TitlePricing path-dependent options using optimized functional quantization
Publication TypeMiscellaneous
Year of Publication2006
AuthorsGilles Pagès, and Jacques Printems
KeywordsAsian option, Brownian motion, functional quantization, Gaussian process, Heston model, numerical integration, optimal quantization
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Pricing Path Dependent Option Using Functional Quantization.pdf762.71 KB