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Quantization
  • A quantization tree algorithm: improvements and financial applications for swing options models 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. , A.L. Bronstein, B. Wilbertz, G. Pages (2008)
  • Optimal quantization for the pricing of swing options models In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm. , O. Bardou, S. Bouthemy, G. Pages (2007)
  • Pricing path-dependent options using optimized functional quantization models Presentation , G. Pages, J. Printems (2006)
  • First-Order Schemes in the Numerical Quantization Method models , V. Bally, G. Pag?s, J. Printemps (2004)





















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