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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Pré-publication, Document de travail
2009
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https://hal.archives-ouvertes.fr/hal-00273790
Contributeur : Anne Laure Bronstein <>
Soumis le : mardi 15 décembre 2009 - 14:50:20
Dernière modification le : mercredi 12 octobre 2016 - 01:02:49
Document(s) archivé(s) le : samedi 26 novembre 2016 - 16:07:21

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swing.pdf
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  • HAL Id : hal-00273790, version 2

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PMA | INSMI | UPMC | USPC

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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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