References

[BP1] Bally V. and G. Pages: A quantization algorithm for solving discrete time multidimensional optimal stopping problems, Bernoulli, (9) 6, 1-47, 2003.

[BP2] Bally V. and G. Pages: Error analysis of the quantization algorithm for obstacle problems, Stochastic Processes and their Applications,106 (1), 1-40, 2003.

[BT] Bouchard B. and N. Touzi: Discrete Time Approximation and Monte-Carlo Simulation of Backward Stochastic Differential Equations, Stochastic Processes and their Applications, to appear.

[BET] Bouchard B., I. Ekeland and N. Touzi: On the Malliavin approach to Monte Carlo approximation of conditional expectations, Finance and Stochastics, 8 (1), 2004.

[BKT] Bouchard B., N. El Karoui and N. Touzi: Maturity randomization for stochastic control problems, in preparation.

[Carr] Carr P.: Randomization and the American Put, The Review of Financial Studies, 11, 597-626, 1997.

[C] Carriere E.: Valuation of the Early-Exercise Price for Options using Simulations and Nonparametric Regression, Insurance: mathematics and Economics, 19, 19-30, 1996.

[CLP] Clément E., D. Lamberton, and P. Protter: An analysis of a least squares regression method for American option pricing, Finance and Stochastics, 6, 449-472, 2002.

[KKPPQ] El Karoui N., C. Kapoudjan, E. Pardoux, S. Peng and M.C. Quenez: Reflected solutions of backward stochastic differential equations and related obstacle problems for PDE's, Annals of Probability, 25, 702-737, 1997.

[LS] Longstaff F.A. and R.S. Schwartz: Valuing American Options By Simulation: A simple Least-Square Approach, Review of Financial Studies, 14, 113-147, 2001.

[MY] Ma J. and J. Yong: Forward-Backward Stochastic Differential Equations and Their Applications, Lecture Notes in Math., 1702, Springer, 1999.

[PP1] Pages G. and H. Pham: A quantization algorithm for multidimensional stochastic control problems, preprint LPMA n${{}^\circ}$697, 2001.

[PP2] Pages G. and H. Pham: Optimal quantization methods for nonlinear filtering with discrete-time observations, preprint LPMA n${{}^\circ}$778, 2002.

[R] Rogers L.C.G.: Monte Carlo valuation of American options, Mathematical Finance, 12, 271-286, 2002.

[VL] Victoir N. and T. Lyons: Cubature on Wiener space, Proc. R. Soc. Lond. A, 460, 169-198, 2004.

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