Optimal Quantization for the Pricing of Swing Options

Olivier Bardou · Gilles Pagès

51 citations0/0 files storedApplied Mathematical Finance

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk and Portfolio Optimization

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 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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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1995Numerical Valuation of High Dimensional Multivariate American Securities 2004Valuation of Commodity-Based Swing Options 2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS 2004Optimal Quantization Methods and Applications to Numerical Problems in Finance 2003Monte Carlo methods for the valuation of multiple exercise options 2003Optimal quadratic quantization for numerics: the Gaussian case

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