Numerical methods for the pricing of swing options: a stochastic control approach
type: Item
instance of: scholarly article
title: Numerical methods for the pricing of swing options: a stochastic control approach
zbMATH Open document ID: 1142.91502
author: Christophe Barrera-Esteve
author: Florent Bergeret
author: Charles Dossal
author: Asma Meziou
author: Rémi Munos
author: Damien Reboul-Salze
author: Emmanuel Gobet
published in: Methodology and Computing in Applied Probability
publication date: 2007-01-29T00:00:00Z
full work available at URL: swing.pdf
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 93E03
zbMATH DE Number: 5119601
zbMATH Keywords: swing options
zbMATH Keywords: Monte Carlo simulations
zbMATH Keywords: bang-bang control
zbMATH Keywords: parametric consumption
zbMATH Keywords: stochastic gradient
MaRDI profile type: Publication
OpenAlex ID: W2088906233
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cites work: Valuation of Commodity-Based Swing Options
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cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
DOI: 10.1007/S11009-006-0427-8
description: scientific article; zbMATH DE number 5119601