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Optimal Quantization for the Pricing of Swing Options

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
2004Valuation of Commodity-Based Swing Options276 cited
2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS192 cited
2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS191 cited
2004Optimal Quantization Methods and Applications to Numerical Problems in Finance143 cited
2003Monte Carlo methods for the valuation of multiple exercise options141 cited
2003Optimal quadratic quantization for numerics: the Gaussian case141 cited
2006Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach92 cited
2008Pricing Asset Scheduling Flexibility using Optimal Switching91 cited
1995Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay77 cited
2008Optimal Multiple Stopping of Linear Diffusions69 cited
2004Pricing of Electricity Swing Options67 cited

Cited by

2010WHEN ARE SWING OPTIONS BANG-BANG?42 cited
2011GPGPUs in computational finance: massive parallel computing for American style options

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32 cited

2015Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process30 cited

2011Gas storage valuation applying numerically constructed recombining trees30 cited

2013DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS26 cited

2012Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options24 cited

2025Individual Path Recommendation Under Public Transit Service Disruptions Considering Behavior Uncertainty4 cited