Optimal Quantization for the Pricing of Swing Options
نویسندگان
چکیده
منابع مشابه
Pricing Swing Options with Typical Constraints
We propose a pricing method by mathematical programming for swing options with typical constraints on a lattice model. We show that the problem of pricing typical swing options has a particular optimal solution such that there are only seven kinds of changed amounts in the solution. Using the solution, we formulate the pricing problem as a linear program. The solution can be applied to the meth...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2009
ISSN: 1350-486X,1466-4313
DOI: 10.1080/13504860802453218