Optimal Quantization for the Pricing of Swing Options (Q3395726): Difference between revisions

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+The central limit theorem for a nonlinear algorithm based on quantization
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+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+WHEN ARE SWING OPTIONS BANG-BANG?
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+Numerical methods for the pricing of swing options: a stochastic control approach
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+Optimal Quantization for the Pricing of Swing Options
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+Optimal Multiple Stopping of Linear Diffusions
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+Pricing Asset Scheduling Flexibility using Optimal Switching
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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+An Algorithm for Finding Best Matches in Logarithmic Expected Time
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+Foundations of quantization for probability distributions
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+Valuing virtual production capacities on flow commodities
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+Valuation of Commodity-Based Swing Options
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Functional quantization rate and mean regularity of processes with an application to Lévy processes
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+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
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+A space quantization method for numerical integration
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+Optimal quadratic quantization for numerics: the Gaussian case
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+On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
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+Asymptotic quantization error of continuous signals and the quantization dimension
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