How to speed up the quantization tree algorithm with an application to swing options

Anne Laure Bronstein, Gilles Pages and Benedikt Wilbertz

Quantitative Finance, 2010, vol. 10, issue 9, 995-1007

Abstract: In this paper, we suggest several improvements to the numerical implementation of the quantization method for stochastic control problems in order to obtain fast and accurate premium estimations. This technique is applied to derivative pricing in energy markets. Several ways of modeling energy derivatives are described and numerical examples including parallel execution on multi-processor devices are presented to illustrate the accuracy of these methods and their execution times.

Keywords: American options; Applied mathematical finance; Control and optimization; Numerical methods for option pricing (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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DOI: 10.1080/14697680903508487

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