In this article, we propose several quantization based stratified sampling methods to reduce the variance of a Monte-Carlo simulation. Theoretical aspects of stratification lead to a strong link between the problem of optimal L^2-quantization of a random variable and the variance reduction that...

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...