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Optimal Quantization for the Pricing of Swing Options

Author

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  • Olivier Bardou
  • Sandrine Bouthemy
  • Gilles Pages

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.

Suggested Citation

  • Olivier Bardou & Sandrine Bouthemy & Gilles Pages, 2009. "Optimal Quantization for the Pricing of Swing Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 183-217.
    • Handle: RePEc:taf:apmtfi:v:16:y:2009:i:2:p:183-217
    DOI: 10.1080/13504860802453218
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    References listed on IDEAS

    as
    1. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
    2. repec:dau:papers:123456789/607 is not listed on IDEAS
    3. Helyette Geman, 2005. "Commodities and Commodity Derivatives. Modeling and Pricing for Agriculturals, Metals and Energy," Post-Print halshs-00144182, HAL.
    Full references (including those not matched with items on IDEAS)

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