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Bardou et al., 2009 - Google Patents

Optimal quantization for the pricing of swing options

Bardou et al., 2009

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Document ID
3761286750029731081
Author
Bardou O
Bouthemy S
Pagès G
Publication year
Publication venue
Applied Mathematical Finance

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Snippet

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 detail and numerous simulations are provided to assert its efficiency. In particular, we carry out a …
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