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Numerical methods for the pricing of Swing options: a stochastic control approach

Christophe Barrera-Esteve Florent Bergeret Charles Dossal 1 Emmanuel Gobet 2 Asma Meziou 1 Rémi Munos 1, 3 Damien Reboul-Salze
1 CMAP - Centre de Mathématiques Appliquées
2 LMC - IMAG - Laboratoire de Modélisation et Calcul
3 SEQUEL - Sequential Learning
LIFL - Laboratoire d'Informatique Fondamentale de Lille, LAGIS - Laboratoire d'Automatique, Génie Informatique et Signal, Inria Lille - Nord Europe
Abstract : Numerical methods for the pricing of Swing options: a stochastic control approach
Keywords : Swing options Monte Carlo simulations Bang-bang control Parametric consumption Stochastic gradient
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Journal articles
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https://hal.inria.fr/inria-00117175
Contributor : Rémi Munos <>
Submitted on : Friday, December 1, 2006 - 6:18:14 PM
Last modification on : Thursday, May 28, 2020 - 2:48:01 PM
Document(s) archivé(s) le : Tuesday, April 6, 2010 - 8:15:19 PM

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  • HAL Id : inria-00117175, version 1

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INRIA | IMAG | CNRS | UNIV-LILLE3 | X-CMAP | X | LAGIS | CMAP | UGA | UVSQ | X-DEP-MATHA

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Christophe Barrera-Esteve, Florent Bergeret, Charles Dossal, Emmanuel Gobet, Asma Meziou, et al.. Numerical methods for the pricing of Swing options: a stochastic control approach. Methodology and Computing in Applied Probability, Springer Verlag, 2006, Methodology and Computing in Applied Probability, 8 (4), pp.517-540. ⟨inria-00117175⟩

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