Optimal quantization for the pricing of swing options
Pricing of Securities
2013-04-03 v1 Probability
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.
Cite
@article{arxiv.0705.2110,
title = {Optimal quantization for the pricing of swing options},
author = {Olivier Aj Bardou and Sandrine Bouthemy and Gilles Pagès},
journal= {arXiv preprint arXiv:0705.2110},
year = {2013}
}