| Title | Optimal quantization for the pricing of swing options | 
| Publication Type | Journal Article | 
| Year of Publication | 2009 | 
| Authors | Olivier Bardou, Sandrine Bouthemy, and Gilles Pagès | 
| Journal | Applied Mathematical Finance | 
| Volume | 16 | 
| Issue | 2 | 
| Pagination | 183-217 | 
| Abstract | 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.  |