Optimal Quantization for the Pricing of Swing Options
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Publication:3395726
DOI10.1080/13504860802453218zbMath1169.91337arXiv0705.2110OpenAlexW3099273337MaRDI 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
Related Items (26)
Normal Tempered Stable Processes and the Pricing of Energy Derivatives ⋮ 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 ⋮ Multi-asset American options and parallel quantization ⋮ Volatility uncertainty quantification in a stochastic control problem applied to energy ⋮ Energy contracts management by stochastic programming techniques ⋮ Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers ⋮ Gas storage valuation applying numerically constructed recombining trees ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ How to speed up the quantization tree algorithm with an application to swing options ⋮ Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives ⋮ Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes ⋮ Bid-Ask Spread Modelling, a Perturbation Approach ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ WHEN ARE SWING OPTIONS BANG-BANG? ⋮ Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process ⋮ A dual approach to multiple exercise option problems under constraints ⋮ THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING ⋮ The homotopy perturbation method for the Black–Scholes equation ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ On the Optimal Exercise Boundaries of Swing Put Options ⋮ Optimal Quantization for the Pricing of Swing Options ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units ⋮ DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
Cites Work
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- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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