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.
Domains
Probability [math.PR]
Origin : Files produced by the author(s)
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