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 details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.
|Date of creation:||May 2007|
|Date of revision:|
|Publication status:||Published in Applied Mathematical Finance 16, 1-2 (2009) 183-217|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- Barraquand, Jérôme & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September.
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