Pagès, Gilles; Pironneau, Olivier; Sall, Guillaume The parareal algorithm for American options. (English) Zbl 1416.91405 SIAM J. Financ. Math. 9, No. 3, 966-993 (2018). MSC: 91G60 91-04 91G20 60G40 65Y05 65C05 PDFBibTeX XMLCite \textit{G. Pagès} et al., SIAM J. Financ. Math. 9, No. 3, 966--993 (2018; Zbl 1416.91405) Full Text: DOI
Bronstein, Anne Laure; Pagès, Gilles; Portès, Jacques Multi-asset American options and parallel quantization. (English) Zbl 1273.91457 Methodol. Comput. Appl. Probab. 15, No. 3, 547-561 (2013). MSC: 91G60 91G20 65C50 65Y05 PDFBibTeX XMLCite \textit{A. L. Bronstein} et al., Methodol. Comput. Appl. Probab. 15, No. 3, 547--561 (2013; Zbl 1273.91457) Full Text: DOI
Pagès, Gilles; Wilbertz, Benedikt Optimal Delaunay and Voronoi quantization schemes for pricing American style options. (English) Zbl 1247.91199 Carmona, René A. (ed.) et al., Numerical methods in finance. Selected papers based on the presentations at the workshop, Bordeaux, France, June 2010. Berlin: Springer (ISBN 978-3-642-25745-2/hbk; 978-3-642-25746-9/ebook). Springer Proceedings in Mathematics 12, 171-213 (2012). MSC: 91G60 91G20 65C50 62L15 60F25 65D32 PDFBibTeX XMLCite \textit{G. Pagès} and \textit{B. Wilbertz}, Springer Proc. Math. 12, 171--213 (2012; Zbl 1247.91199) Full Text: DOI HAL
Bronstein, Anne Laure; Pagès, Gilles; Wilbertz, Benedikt How to speed up the quantization tree algorithm with an application to swing options. (English) Zbl 1210.91146 Quant. Finance 10, No. 9, 995-1007 (2010). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{A. L. Bronstein} et al., Quant. Finance 10, No. 9, 995--1007 (2010; Zbl 1210.91146) Full Text: DOI HAL
Bally, Vlad; Pagès, Gilles Error analysis of the optimal quantization algorithm for obstacle problems. (English) Zbl 1075.60523 Stochastic Processes Appl. 106, No. 1, 1-40 (2003). MSC: 60G40 91B28 65C05 65C20 PDFBibTeX XMLCite \textit{V. Bally} and \textit{G. Pagès}, Stochastic Processes Appl. 106, No. 1, 1--40 (2003; Zbl 1075.60523) Full Text: DOI
Bally, Vlad; Pagès, Gilles A quantization algorithm for solving multidimensional discrete-time optimal stopping problems. (English) Zbl 1042.60021 Bernoulli 9, No. 6, 1003-1049 (2003). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G40 60J10 60H10 60H15 91B28 PDFBibTeX XMLCite \textit{V. Bally} and \textit{G. Pagès}, Bernoulli 9, No. 6, 1003--1049 (2003; Zbl 1042.60021) Full Text: DOI
Pagés, Gilles; Printems, Jacques Optimal quadratic quantization for numerics: the Gaussian case. (English) Zbl 1029.65012 Monte Carlo Methods Appl. 9, No. 2, 135-165 (2003). MSC: 65C60 65D32 62E17 91G60 PDFBibTeX XMLCite \textit{G. Pagés} and \textit{J. Printems}, Monte Carlo Methods Appl. 9, No. 2, 135--165 (2003; Zbl 1029.65012) Full Text: DOI
Bally, V.; Pagès, G.; Printems, J. First-order schemes in the numerical quantization method. (English) Zbl 1056.91025 Math. Finance 13, No. 1, 1-16 (2003). Reviewer: Gabriel Talmain (York) MSC: 91G60 60H07 91G20 PDFBibTeX XMLCite \textit{V. Bally} et al., Math. Finance 13, No. 1, 1--16 (2003; Zbl 1056.91025) Full Text: DOI Link
Bally, Vlad; Pagès, Gilles; Printems, Jacques A stochastic quantization method for nonlinear problems. (English) Zbl 1035.65008 Monte Carlo Methods Appl. 7, No. 1-2, 21-33 (2001). MSC: 65C30 60G40 91G60 60H15 60H35 PDFBibTeX XMLCite \textit{V. Bally} et al., Monte Carlo Methods Appl. 7, No. 1--2, 21--33 (2001; Zbl 1035.65008) Full Text: DOI