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Reports (Research Report) Year : 2002

The Central Limit Theorem for a non linear algorithm based on quantization

Vlad Bally
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Abstract

In a serry of papers we have presented an algorithm based on quantization for pricing American options. More generally this amounts to solve numerically an obstacle problem for some semi linear PDE^s. Our algorithm is based on a Monte Carlo method and so a statistical error comes on. In the present paper we study this error: we prove the Central Limit Theorem for the algorithm and we give evaluations of the variance.. The difficulty comes from the fact that the algorithm is not linear. On the other hand an interesting problem is to control the behaviour of the variance of the algorithm as the complexity increases.. It turns out that the variance does not blow up if the time discretization step and the space discretization step tend to zero
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Dates and versions

inria-00071956 , version 1 (23-05-2006)

Identifiers

  • HAL Id : inria-00071956 , version 1

Cite

Vlad Bally. The Central Limit Theorem for a non linear algorithm based on quantization. [Research Report] RR-4629, INRIA. 2002. ⟨inria-00071956⟩
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