| Title | How to speed up the quantization tree algorithm with an application to swing options |
| Publication Type | Journal Article |
| Year of Publication | 2008 |
| Authors | Anne Laure Bronstein, Gilles Pagès, and Benedikt Wilbertz |
| Keywords | Backward Dynamic programming, Gaussian process, Lévy process, quantization, Stochastic control, Swing options |
| Abstract | In this paper, we suggest several improvements to the numerical implementation of the quantization method for stochastic control problems in order to get fast and accurate premium estimations. This technique is applied to derivative pricing in energy markets. Several ways of modeling energy derivatives are described and finally numerical examples including parallel execution on multi-processor devices are presented to illustrate the accuracy of these methods and their execution times. |
| Hosted by cogitel-forum. |
|
|
|
|