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Optimal quantization for the pricing of swing options. (English) Zbl 1169.91337
Summary: 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 detail and numerous simulations are provided to assert its efficiency. In particular, we carry out a comparison with the Longstaff-Schwartz algorithm.

MSC:
91B24 Microeconomic theory (price theory and economic markets)
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