English, Article edition: Optimal Quantization for the Pricing of Swing Options Olivier Bardou; Sandrine Bouthemy; Gilles Pages

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Optimal Quantization for the Pricing of Swing Options
Author
  • Olivier Bardou
  • Sandrine Bouthemy
  • Gilles Pages
Physical Description
  • article
Notes
  • 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.
  • Swing options, stochastic control, optimal quantization, energy,
  • RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217
Language
  • English
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