Optimal Quantization for the Pricing of Swing Options
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 detail 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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Volume (Year): 16 (2009)
Issue (Month): 2 ()
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