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

DOI10.1080/14697680903508487zbMath1210.91146MaRDI 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 options; control and optimization; numerical methods for option pricing; applied mathematical finance

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work

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• Processes of normal inverse Gaussian type
• A space quantization method for numerical integration
• Foundations of quantization for probability distributions
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• Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
• Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function
• An Algorithm for Finding Best Matches in Logarithmic Expected Time
• Optimal quadratic quantization for numerics: the Gaussian case
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS