Swing option pricing consistent with futures smiles

DOI10.1002/asmb.2747MaRDI QIDQ6581586

Andrea Pallavicini, Roberto Daluiso, Giulio Sartorelli, Emanuele Nastasi

Publication date: 30 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

reinforcement learningpricingvolatility smileswing optionleast-square Monte Carlo

Mathematics Subject Classification ID

Statistics (62-XX)

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