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Optimal delaunay and Voronoi quantization schemes for pricing American style options
Pagès, Gilles; Wilbertz, Benedikt - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 171-213). 2012
Persistent link: https://www.econbiz.de/10009577194
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When are swing options bang-bang?
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 867-899
Persistent link: https://www.econbiz.de/10008905111
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Optimal quantization for the pricing of swing options
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles - In: Applied mathematical finance 16 (2009) 1/2, pp. 183-217
Persistent link: https://www.econbiz.de/10003847156
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Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume - In: The journal of computational finance 22 (2018) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10011976655
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A quantization tree method for pricing and hedging multidimensional American options
Bally, Vlad; Pagès, Gilles; Printems, Jacques - In: Mathematical finance : an international journal of … 15 (2005) 1, pp. 119-168
Persistent link: https://www.econbiz.de/10002583057
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Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel; Lemaire, Vincent; Montes, Thibaut; … - In: The journal of computational finance 25 (2021) 2, pp. 87-128
Persistent link: https://www.econbiz.de/10012938894
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Stationary Heston model : calibration and pricing of exotics using product recursive quantization
Lemaire, Vincent; Montes, Thibaut; Pagès, Gilles - In: Quantitative finance 22 (2022) 4, pp. 611-629
Persistent link: https://www.econbiz.de/10013367839