How to speed up the quantization tree algorithm with an application to swing options

DOI10.1080/14697680903508487zbMath1210.91146OpenAlexW2102197848MaRDI QIDQ2994841

Anne Laure Bronstein, Benedikt Wilbertz, Gilles Pagès

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

zbMATH Keywords

American optionscontrol and optimizationnumerical methods for option pricingapplied mathematical finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options ⋮ Quantization dimensions of compactly supported probability measures via Rényi dimensions ⋮ Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ A parallel wavelet-based pricing procedure for Asian options

Cites Work

• A central limit theorem for k-means clustering
• Processes of normal inverse Gaussian type
• A space quantization method for numerical integration
• Foundations of quantization for probability distributions
• WHEN ARE SWING OPTIONS BANG-BANG?
• THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
• Valuation of Commodity-Based Swing Options
• Optimal Quantization for the Pricing of Swing Options
• Optimal Quantization for Finance: From Random Vectors to Stochastic Processes
• Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function
• An Algorithm for Finding Best Matches in Logarithmic Expected Time
• Optimal quadratic quantization for numerics: the Gaussian case
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

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