Numerical methods for the pricing of swing options: a stochastic control approach
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Publication:861551
DOI10.1007/s11009-006-0427-8zbMath1142.91502OpenAlexW2088906233MaRDI QIDQ861551
Damien Reboul-Salze, Rémi Munos, Florent Bergeret, Charles Dossal, Christophe Barrera-Esteve, Asma Meziou, Emmanuel Gobet
Publication date: 29 January 2007
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00117175/file/swing.pdf
Numerical methods (including Monte Carlo methods) (91G60) Stochastic systems in control theory (general) (93E03)
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Cites Work
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- On the pricing of American options
- Stochastic optimal control. The discrete time case
- Valuation of Commodity-Based Swing Options
- Numerical Methods for Stochastic Singular Control Problems
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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