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

DOI10.1080/14697680903508487MaRDI QIDQ2994841zbMATH OpenOpenAlexFDO

Authors Anne Laure Bronstein, Gilles Pagès, Benedikt Wilbertz

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

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

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Cites work

• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• A central limit theorem for k-means clustering
• A space quantization method for numerical integration
• An Algorithm for Finding Best Matches in Logarithmic Expected Time
• Foundations of quantization for probability distributions
• Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
• Optimal Quantization for the Pricing of Swing Options
• Optimal quadratic quantization for numerics: the Gaussian case
• Processes of normal inverse Gaussian type
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function
• Valuation of Commodity-Based Swing Options
• When are swing options bang-bang?

Cited in

(7)

• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• Optimal Delaunay and Voronoi quantization schemes for pricing American style options
• Quantization of stochastic volatility models: numerical tests and an open source implementation
• Utility indifference pricing and hedging for structured contracts in energy markets
• Quantization dimensions of compactly supported probability measures via Rényi dimensions
• Optimal Quantization for the Pricing of Swing Options
• A parallel wavelet-based pricing procedure for Asian options

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