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How to speed up the quantization tree algorithm with an application to swing options |
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| Authors: | Anne Laure Bronstein Gilles Pagès Benedikt Wilbertz |
| Institution: | 1. Laboratoire de Probabilités et Modèles aléatoires , UMR 7599, Université Paris 6 , case 188, 4, pl. Jussieu, F-75252 Paris Cedex 5, France albronstein@gmail.com;3. Laboratoire de Probabilités et Modèles aléatoires , UMR 7599, Université Paris 6 , case 188, 4, pl. Jussieu, F-75252 Paris Cedex 5, France;4. Universit?t Trier , FB IV-Mathematik, D-54286 Trier, Germany |
| Abstract: | In this paper, we suggest several improvements to the numerical implementation of the quantization method for stochastic control problems in order to obtain fast and accurate premium estimations. This technique is applied to derivative pricing in energy markets. Several ways of modeling energy derivatives are described and numerical examples including parallel execution on multi-processor devices are presented to illustrate the accuracy of these methods and their execution times. |
| Keywords: | American options Applied mathematical finance Control and optimization Numerical methods for option pricing |