Quadratic optimal functional quantization of stochastic processes and numerical applications

Gilles Pagès

doi:10.1007/978-3-540-74496-2_6

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arXiv · 0706.4450

Quadratic optimal functional quantization of stochastic processes and numerical applications

Gilles Pagès

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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.

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Gilles Pagès. 2007-06-29. Quadratic optimal functional quantization of stochastic processes and numerical applications. https://doi.org/10.1007/978-3-540-74496-2_6

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