Quantization algorithms have been recently successfully adopted in option pricing problems to speed up Monte Carlo simulations thanks to the high convergence rate of the numerical approximation. In particular, recursive marginal quantization has been proven a flexible and versatile tool when...

We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing exotic options. The new algorithm relies on the construction of a discrete multinomial tree. The crucial feature of...