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Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options

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References

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2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS192 cited
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2010WHEN ARE SWING OPTIONS BANG-BANG?42 cited
2008Functional quantization rate and mean regularity of processes with an application to Lévy processes41 cited
2005Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation37 cited
2008

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Functional quantization rate and mean regularity of processes with an application to Lévy processes

36 cited

2011GPGPUs in computational finance: massive parallel computing for American style options32 cited

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2016Pricing via recursive quantization in stochastic volatility models23 cited