activity
20052020
most citedOn some Non Asymptotic Bounds for the Euler Scheme

62 citations · 292 across the 13 of their papers we have counts for

collaborators
Showing q-fin.CPShow all

1 paper · 1 filter

q-fin.CP2019★ 1 cited

Quantization-based Bermudan option pricing in the world

Jean-Michel Fayolle, Vincent Lemaire, Thibaut Montes +1

This paper proposes two numerical solution based on Product Optimal Quantization for the pricing of Foreign Echange (FX) linked long term Bermudan options e.g. Bermudan Power Rever…