Optimal Quantization for the Pricing of Swing Options

DOI10.1080/13504860802453218zbMath1169.91337arXiv0705.2110MaRDI QIDQ3395726

Gilles Pagès, Sandrine Bouthemy, Olivier Bardou

Publication date: 13 September 2009

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0705.2110

zbMATH Keywords

energy; stochastic control; optimal quantization; swing options

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

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Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process, SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION, On the Optimal Exercise Boundaries of Swing Put Options, DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS, Bid-Ask Spread Modelling, a Perturbation Approach, Multi-asset American options and parallel quantization, Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers, Gas storage valuation applying numerically constructed recombining trees, A dual approach to multiple exercise option problems under constraints, Energy contracts management by stochastic programming techniques, Utility indifference pricing and hedging for structured contracts in energy markets, WHEN ARE SWING OPTIONS BANG-BANG?, THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING, Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options, Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods, Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques, The Evaluation of Gas Swing Contracts with Regime Switching, How to speed up the quantization tree algorithm with an application to swing options, The homotopy perturbation method for the Black–Scholes equation, Optimal Quantization for the Pricing of Swing Options

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