How to speed up the quantization tree algorithm with an application to swing options
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680903508487
Reference19 articles.
1. A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
2. O. Bardou, Bouthemy, S. and Pagès, G. When are swing options bang-bang, to appear inInt. J. Theor. Appl. Finance, LPMA preprint, 2007
3. Optimal Quantization for the Pricing of Swing Options
4. Processes of normal inverse Gaussian type
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