Numerical methods for the pricing of swing options: a stochastic control approach (Q861551)
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scientific article; zbMATH DE number 5119601
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for the pricing of swing options: a stochastic control approach |
scientific article; zbMATH DE number 5119601 |
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Numerical methods for the pricing of swing options: a stochastic control approach (English)
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29 January 2007
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swing options
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Monte Carlo simulations
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bang-bang control
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parametric consumption
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stochastic gradient
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