A quantization tree algorithm: improvements and financial applications for swing options

Anne Laure Bronstein (1) , Gilles Pagès (1, 2) , Benedikt Wilbertz (2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 FB IV-Mathematik

In this paper, we suggest several improvements to the numerical implementation of the quantization method in order to get 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 are provided to test the procedure accuracy.

Mots clés: optimal quantizer; Quantization; Gaussian process; Lévy process; optimal quantizer.

Domaines: Probabilités [math.PR]

Anne Laure Bronstein, Gilles Pagès, Benedikt Wilbertz. A quantization tree algorithm: improvements and financial applications for swing options. 2008. ⟨hal-00273790v1⟩