Optimal quantization for the pricing of swing options

Olivier Aj Bardou (1) , Sandrine Bouthemy (1) , Gilles Pagès (2)

1 GDF-RDD - Gaz de France, Research and Development Division
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

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.

Mots clés: Swing options; stochastic control; optimal quantization; energy

Domaines: Probabilités [math.PR]

Olivier Aj Bardou, Sandrine Bouthemy, Gilles Pagès. Optimal quantization for the pricing of swing options. Applied Mathematical Finance, 2009, 16 (1-2), pp.183-217. ⟨10.1080/13504860802453218⟩. ⟨hal-00146739⟩