Optimal Quantization for the Pricing of Swing Options

In this paper we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in detail and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.

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Year of publication:	2009
Authors:	Bardou, Olivier ; Bouthemy, Sandrine ; Pages, Gilles
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 16.2009, 2, p. 183-217
Publisher:	Taylor & Francis Journals
Subject:	Swing options \| stochastic control \| optimal quantization \| energy

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004966853