Optimal Quantization for the Pricing of Swing Options
type: Item
instance of: scholarly article
title: Optimal Quantization for the Pricing of Swing Options
zbMATH Open document ID: 1169.91337
DOI: 10.1080/13504860802453218
author: O. Bardou
author: Sandrine Bouthemy
author: Gilles Pagès
published in: Applied Mathematical Finance
publication date: 2009-09-13T00:00:00Z
full work available at URL: https://arxiv.org/abs/0705.2110
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 5603428
zbMATH Keywords: swing options
zbMATH Keywords: stochastic control
zbMATH Keywords: optimal quantization
zbMATH Keywords: energy
MaRDI profile type: Publication
OpenAlex ID: W3099273337
arXiv ID: 0705.2110
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description: scientific article