Optimal Quantization for the Pricing of Swing Options
From MaRDI portal
Publication:3395726
DOI10.1080/13504860802453218zbMath1169.91337arXiv0705.2110MaRDI QIDQ3395726
Gilles Pagès, Olivier Bardou, Sandrine Bouthemy
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
91B24: Microeconomic theory (price theory and economic markets)
Related Items
Bid-Ask Spread Modelling, a Perturbation Approach, Multi-asset American options and parallel quantization, Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers, Gas storage valuation applying numerically constructed recombining trees, A dual approach to multiple exercise option problems under constraints, Energy contracts management by stochastic programming techniques, WHEN ARE SWING OPTIONS BANG-BANG?, 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, How to speed up the quantization tree algorithm with an application to swing options, The homotopy perturbation method for the Black–Scholes equation, Optimal Quantization for the Pricing of Swing Options
Cites Work
- Valuing virtual production capacities on flow commodities
- Numerical methods for the pricing of swing options: a stochastic control approach
- A space quantization method for numerical integration
- Foundations of quantization for probability distributions
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
- WHEN ARE SWING OPTIONS BANG-BANG?
- The central limit theorem for a nonlinear algorithm based on quantization
- Valuation of Commodity-Based Swing Options
- Optimal Multiple Stopping of Linear Diffusions
- Optimal Quantization for the Pricing of Swing Options
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Asymptotic quantization error of continuous signals and the quantization dimension
- An Algorithm for Finding Best Matches in Logarithmic Expected Time
- Optimal quadratic quantization for numerics: the Gaussian case
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
