output
20072024
most citedOptimal quantization for the pricing of swing options

52 citations

researchers with a paper here
collaborating institutions

5 papers

stat.CO2024

Sensitivity Analyses of a Multi-Physics Long-Term Clogging Model For Steam Generators

Edgar Jaber, Vincent Chabridon, Emmanuel Remy +4

Long-term operation of nuclear steam generators can result in the occurrence of clogging, a deposition phenomenon that may increase the risk of mechanical and vibration loadings on…

cs.CV2021

ECLIPSE : Envisioning CLoud Induced Perturbations in Solar Energy

Quentin Paletta, Anthony Hu, Guillaume Arbod +1

Efficient integration of solar energy into the electricity mix depends on a reliable anticipation of its intermittency. A promising approach to forecast the temporal variability of…

math.PR2014★ 26 cited

Almost sure optimal hedging strategy

Emmanuel Gobet, Nicolas Landon

In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional Itô model when the discrete rebalancing d…

q-fin.PR2007★ 52 cited

Optimal quantization for the pricing of swing options

Olivier Aj Bardou, Sandrine Bouthemy, Gilles Pagès

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…

math.PR2007★ 29 cited

When are Swing options bang-bang and how to use it

Olivier Aj Bardou, Sandrine Bouthemy, Gilles Pagès

In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the prem…