Works matching AU Sagna, Abass
Results: 6
Product Markovian Quantization of a Diffusion Process with Applications to Finance.
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- Methodology & Computing in Applied Probability, 2019, v. 21, n. 4, p. 1087, doi. 10.1007/s11009-018-9652-1
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- Article
UNIVERSAL L<sup>s</sup>-RATE-OPTIMALITY OF L<sup>r</sup>-OPTIMAL QUANTIZERS BY DILATATION AND CONTRACTION.
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- ESAIM: Probability & Statistics, 2009, v. 13, n. 3, p. 218, doi. 10.1051/ps:2008008
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- Article
Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process.
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- Applied Mathematical Finance, 2015, v. 22, n. 5, p. 463, doi. 10.1080/1350486X.2015.1091741
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Quantization based recursive importance sampling.
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- Monte Carlo Methods & Applications, 2012, v. 18, n. 4, p. 287, doi. 10.1515/mcma-2012-0011
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- Article
Pricing of barrier options by marginal functional quantization.
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- Monte Carlo Methods & Applications, 2011, v. 17, n. 4, p. 371, doi. 10.1515/mcma.2011.015
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Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions.
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- IMA Journal of Numerical Analysis, 2021, v. 41, n. 4, p. 2668, doi. 10.1093/imanum/draa033
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- Article