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Abstract: In this paper, we investigate a numerical algorithm for the pricing of swingoptions, relying on the so-called optimal quantization method. The numericalprocedure is described in details and numerous simulations are provided toassert its efficiency. In particular, we carry out a comparison with theLongstaff-Schwartz algorithm.



Author: Olivier Aj Bardou (GDF-RDD), Sandrine Bouthemy (GDF-RDD), Gilles Pag├Ęs (PMA)

Source: https://arxiv.org/







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