27p.International audienceIn 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
International audienceThis paper deals with numerical solutions to an optimal multiple stopping prob...
International audienceThis paper deals with numerical solutions to an optimal multiple stopping prob...
International audienceIn the natural gas market, many derivative contracts have a large degree of fl...
In this paper, we suggest several improvements to the numerical implementation of the quantization m...
28 pagesInternational audienceIn this paper we investigate a class of swing options with firm constr...
In this paper, we suggest several improvements to the numerical implementation of the quantization m...
International audienceWe consider the problem of pricing swing options with multiple exercise rights...
International audienceWe consider the problem of pricing swing options with multiple exercise rights...
38 pagesWe review in this article pure quantization methods for the pricing of multiple exercise opt...
We demonstrate how the problem of determining the ask price for electricityswing options can be cons...
We demonstrate how the problem of determining the ask price for electricityswing options can be cons...
The work presented in this PhD dissertation was motivated by issues raised by the valuation of contr...
This thesis is concerned with the study of optimal quantization and its applications. We deal with t...
This thesis is concerned with the study of optimal quantization and its applications. We deal with t...
We study the problem of pricing swing options, a class of multiple early exercise options that are t...
International audienceThis paper deals with numerical solutions to an optimal multiple stopping prob...
International audienceThis paper deals with numerical solutions to an optimal multiple stopping prob...
International audienceIn the natural gas market, many derivative contracts have a large degree of fl...
In this paper, we suggest several improvements to the numerical implementation of the quantization m...
28 pagesInternational audienceIn this paper we investigate a class of swing options with firm constr...
In this paper, we suggest several improvements to the numerical implementation of the quantization m...
International audienceWe consider the problem of pricing swing options with multiple exercise rights...
International audienceWe consider the problem of pricing swing options with multiple exercise rights...
38 pagesWe review in this article pure quantization methods for the pricing of multiple exercise opt...
We demonstrate how the problem of determining the ask price for electricityswing options can be cons...
We demonstrate how the problem of determining the ask price for electricityswing options can be cons...
The work presented in this PhD dissertation was motivated by issues raised by the valuation of contr...
This thesis is concerned with the study of optimal quantization and its applications. We deal with t...
This thesis is concerned with the study of optimal quantization and its applications. We deal with t...
We study the problem of pricing swing options, a class of multiple early exercise options that are t...
International audienceThis paper deals with numerical solutions to an optimal multiple stopping prob...
International audienceThis paper deals with numerical solutions to an optimal multiple stopping prob...
International audienceIn the natural gas market, many derivative contracts have a large degree of fl...
DOI
Add to ORKG