Optimal Quantization for the Pricing of Swing Options

Olivier Bardou, Sandrine Bouthemy and Gilles Pages

Applied Mathematical Finance, 2009, vol. 16, issue 2, 183-217

Abstract: 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.

Keywords: Swing options; stochastic control; optimal quantization; energy (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (28)

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DOI: 10.1080/13504860802453218

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