How to speed up the quantization tree algorithm with an application to swing options
DOI10.1080/14697680903508487zbMATH Open1210.91146OpenAlexW2102197848MaRDI QIDQ2994841FDOQ2994841
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
American optionscontrol and optimizationnumerical methods for option pricingapplied mathematical finance
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Processes of normal inverse Gaussian type
- An Algorithm for Finding Best Matches in Logarithmic Expected Time
- Foundations of quantization for probability distributions
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
- A central limit theorem for k-means clustering
- A space quantization method for numerical integration
- Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
- Optimal quadratic quantization for numerics: the Gaussian case
- Optimal Quantization for the Pricing of Swing Options
- When are swing options bang-bang?
- Valuation of Commodity-Based Swing Options
- Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function
Cited In (5)
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- Utility indifference pricing and hedging for structured contracts in energy markets
- Quantization dimensions of compactly supported probability measures via Rényi dimensions
- Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
- A parallel wavelet-based pricing procedure for Asian options
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