Cover Image

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 details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.
Year of publication:
2007-05
Authors: Bardou, Olivier Aj ; Bouthemy, Sandrine ; Gilles Pag\`es
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in Applied Mathematical Finance 16, 1-2 (2009) 183-217
Source:
Persistent link: https://www.econbiz.de/10005083727
Similar items by person