How to speed up the quantization tree algorithm with an application to swing options

DOI10.1080/14697680903508487zbMath1210.91146OpenAlexW2102197848MaRDI QIDQ2994841

Anne Laure Bronstein, Benedikt Wilbertz, Gilles Pagès

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903508487

zbMATH Keywords

American optionscontrol and optimizationnumerical methods for option pricingapplied mathematical finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS