52 citations
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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…