Аннотация:The program of optimal quantization of a continuous distribution suggested
by Heitsch H. and W. Romisch in 2003 is generalized for arbitrage
exclusion in financial models. It is a non-convex problem, which
belongs to the class of NP-hard problems. In the paper, three different
approximate algorithms are developed for finding the global extremum.
Two of them are based on the separation of variables according to their
power in the objective function while the other is a SQP algorithm. The
numerical results of using the algorithms are provided. The effectiveness
and speed of the problem solving are compared