Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Numerical aspects of quadratic functional quantization : pricing Asian options

Auteur(s):

Code(s) de Classification MSC:

Résumé: We investigate in this paper some numerical aspects of quadratic functional quantization of Gaussian processes, especially, the Brownian motion (and the Brownian bridge). We illustrate the numerical efficiency of functional quantization on the Asian option pricing in a Black & Scholes model.

Mots Clés: Functional quantization ; optimal quantizers ; Brownian motion ; Brownian bridge ; Numerical integration ; Asian option

Date: 2004-04-05

Prépublication numéro: PMA-900