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Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach · Study

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ArticleNumerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

Christophe Barrera-Esteve2006

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Articlegreen2006

Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

Christophe Barrera-Esteve · Florent Bergeret · Charles Dossal · Emmanuel Gobet A · Asma Meziou · Rémi Munos +1 more

92 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Stochastic processes and financial applications Capital Investment and Risk Analysis Adaptive Dynamic Programming Control

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1998Stochastic Approximation Algorithms and Applications 1988On the pricing of American options 2004Valuation of Commodity-Based Swing Options 2005Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control

Cited by

2009Implications of a regime-switching model on natural gas storage valuation and optimal operation 2012Optimal quantization for the pricing of swing options 2009Optimal Quantization for the Pricing of Swing Options 2010WHEN ARE SWING OPTIONS BANG-BANG?2010A dual approach to multiple exercise option problems under constraints 2008Pricing of Swing Options in a Mean Reverting Model with Jumps 2011Gas storage valuation applying numerically constructed recombining trees 2021A deep learning model for gas storage optimization

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2005Monte Carlo algorithms for optimal stopping and statistical learningarticle · 3 shared references 2004A stochastic mesh method for pricing high-dimensional American optionsarticle · 2 shared references 2018A unified framework for stochastic optimizationarticle · 2 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 2 shared references 2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONSarticle · 2 shared references 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONSarticle · 2 shared references

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Year2006

Typearticle

Published2006-11-28

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations92

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11009-006-0427-8

openalex_workW2088906233

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