Optimal quantization for the pricing of swing options

Olivier Aj Bardou, Sandrine Bouthemy and Gilles Pag\`es
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Olivier Aj Bardou: GDF-RDD
Sandrine Bouthemy: GDF-RDD
Gilles Pag\`es: PMA

Papers from arXiv.org

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 details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.

Date: 2007-05
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Citations: View citations in EconPapers (2)

Published in Applied Mathematical Finance 16, 1-2 (2009) 183-217

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0705.2110

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