Optimal quantization for the pricing of swing options
AbstractIn 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0705.2110.
Date of creation: May 2007
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Publication status: Published in Applied Mathematical Finance 16, 1-2 (2009) 183-217
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- repec:ner:dauphi:urn:hdl:123456789/116 is not listed on IDEAS
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