Optimal quantization for the pricing of swing options

TitleOptimal quantization for the pricing of swing options
Publication TypeJournal Article
Year of Publication2009
AuthorsOlivier Bardou, Sandrine Bouthemy, and Gilles Pagès
JournalApplied Mathematical Finance
Volume16
Issue2
Pagination183-217
Abstract

In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.