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
3 SEQUEL - Sequential Learning
LIFL - Laboratoire d'Informatique Fondamentale de Lille, Inria Lille - Nord Europe, LAGIS - Laboratoire d'Automatique, Génie Informatique et Signal
Abstract : Numerical methods for the pricing of Swing options: a stochastic control approach
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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 : Friday, September 27, 2019 - 3:00:13 PM
Long-term archiving on : Tuesday, April 6, 2010 - 8:15:19 PM

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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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