Year: 2009
Type: article
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.
Source: Applied Mathematical Finance
Authors: Olivier Bardou, Sandrine Bouthemy, Gilles Pagès
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2082176355