Quantization-based Bermudan option pricing in the foreign exchange world

Jean-Michel Fayolle; Vincent Lemaire; Thibaut Montes; Gilles Pagès

doi:10.21314/JCF.2021.008

Journal Articles The Journal of Computational Finance Year : 2021

Quantization-based Bermudan option pricing in the foreign exchange world

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Jean-Michel Fayolle

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Vincent Lemaire

Function : Author

Thibaut Montes

Function : Author

Gilles Pagès

Function : Author
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Laboratoire de Probabilités, Statistique et Modélisation

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Mathematics [math] Probability [math.PR]

Gilles Pagès : Connect in order to contact the contributor

https://hal-cnrs.archives-ouvertes.fr/hal-03891143

Submitted on : Friday, December 9, 2022-8:41:38 AM

Last modification on : Saturday, December 10, 2022-4:01:11 AM

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hal-03891143 , version 1 (09-12-2022)

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HAL Id : hal-03891143 , version 1
ARXIV : 1911.05462v2
DOI : 10.21314/JCF.2021.008

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Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes, Gilles Pagès. Quantization-based Bermudan option pricing in the foreign exchange world. The Journal of Computational Finance, 2021, ⟨10.21314/JCF.2021.008⟩. ⟨hal-03891143⟩

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Quantization-based Bermudan option pricing in the foreign exchange world

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