How to speed up the quantization tree algorithm with an application to swing options
DOI10.1080/14697680903508487zbMATH Open1210.91146OpenAlexW2102197848MaRDI QIDQ2994841FDOQ2994841
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
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- scientific article; zbMATH DE number 1305402
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Faster construction of optimal binary split trees
- Efficient option valuation using trees
- Lattice tree versus dynamic programming in real option analysis
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 (6)
- 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
- Optimal Quantization for the Pricing of Swing Options
- A parallel wavelet-based pricing procedure for Asian options
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