Quadratic optimal functional quantization of stochastic processes and numerical applications

Details Quadratic optimal functional quantization of stochastic processes and numerical applications Quadratic optimal functional quantization of stochastic processes and numerical applications

2007-06-29

arxiv.org/abs/0706.4450v1

Mathematics

Probability

41 pages

Scientific paper

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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