Optimal quantization for the pricing of swing options

Details Optimal quantization for the pricing of swing options Optimal quantization for the pricing of swing options

2007-05-15

arxiv.org/abs/0705.2110v1

Economy

Quantitative Finance

Pricing of Securities

27p

Scientific paper

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.

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