Bardou, Olivier; Bouthemy, Sandrine; Pages, Gilles - In: Applied Mathematical Finance 16 (2009) 2, pp. 183-217
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...