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2012 | OriginalPaper | Buchkapitel

Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options

verfasst von : Gilles Pagès, Benedikt Wilbertz

Erschienen in: Numerical Methods in Finance

Verlag: Springer Berlin Heidelberg

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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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Vorheriges Kapitel Optimal Hedging of American Options in Discrete Time

Nächstes Kapitel Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

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Titel: Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
verfasst von: Gilles Pagès
Benedikt Wilbertz
Verlag: Springer Berlin Heidelberg
Buch: Numerical Methods in Finance
Print ISBN: 978-3-642-25745-2

Electronic ISBN: 978-3-642-25746-9

Copyright-Jahr: 2012
DOI: https://doi.org/10.1007/978-3-642-25746-9_6

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