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

Christophe Barrera-Esteve; Florent Bergeret; Charles Dossal; Emmanuel Gobet; Asma Meziou; Rémi Munos; Damien Reboul-Salze

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

Document type :

Journal articles

Domain :

Computer Science [cs] / Machine Learning [cs.LG]

Complete list of metadatas

https://hal.inria.fr/inria-00117175
Contributor : Rémi Munos <>
Submitted on : Friday, December 1, 2006 - 6:18:14 PM
Last modification on : Friday, January 10, 2020 - 3:42:10 PM
Long-term archiving on: Tuesday, April 6, 2010 - 8:15:19 PM

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

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