Optimal quantization for the pricing of swing options

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.

27p

References in corpus (2)

• Functional quantization rate and mean regularity of processes with an application to Lévy processes
• When are Swing options bang-bang and how to use it

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