How to speed up the quantization tree algorithm with an application to swing options
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Publication:2994841
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
American optionscontrol and optimizationnumerical methods for option pricingapplied mathematical finance
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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