Swing contract pricing: with and without neural networks

Cites Work

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Recursive computation of the invariant distribution of a diffusion
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Multilayer feedforward networks are universal approximators
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High-dimensional Bayesian inference via the unadjusted Langevin algorithm
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Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Convergence rates of Gibbs measures with degenerate minimum
WHEN ARE SWING OPTIONS BANG-BANG?
Valuation of Commodity-Based Swing Options
Optimal Quantization for the Pricing of Swing Options
Recursive Stochastic Algorithms for Global Optimization in $\mathbb{R}^d $
Universal approximation bounds for superpositions of a sigmoidal function
Monte Carlo valuation of American options
Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
Theoretical Guarantees for Approximate Sampling from Smooth and Log-Concave Densities
A Stochastic Approximation Method
Neural network approximation
Approximation by superpositions of a sigmoidal function
Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
Convergence of Langevin-simulated annealing algorithms with multiplicative noise

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