%0 Journal Article
%T Quadratic optimal functional quantization of stochastic processes and numerical applications
%A Gilles Pag¨¨s
%J Mathematics
%D 2007
%I arXiv
%R 10.1007/978-3-540-74496-2_6
%X 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.
%U http://arxiv.org/abs/0706.4450v1