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How to speed up the quantization tree algorithm with an application to swing options

Abstract : In this paper, we suggest several improvements to the numerical implementation of the quantization method for stochastic control problems in order to get fast and accurate premium estimations. This technique is applied to derivative pricing in energy markets. Several ways of modeling energy derivatives are described and finally numerical examples including parallel execution on multi-processor devices are presented to illustrate the accuracy of these methods and their execution times.
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https://hal.archives-ouvertes.fr/hal-00273790
Contributor : Anne Laure Bronstein <>
Submitted on : Tuesday, December 15, 2009 - 2:50:20 PM
Last modification on : Wednesday, December 9, 2020 - 3:05:31 PM
Long-term archiving on: : Saturday, November 26, 2016 - 4:07:21 PM

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  • HAL Id : hal-00273790, version 2

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Anne Laure Bronstein, Gilles Pagès, Benedikt Wilbertz. How to speed up the quantization tree algorithm with an application to swing options. 2009. ⟨hal-00273790v2⟩

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