Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach-Reference-Cited by-同舟云学术

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

Published:2006-12 Issue:4 Volume:8 Page:517-540
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Barrera-Esteve Christophe,Bergeret Florent,Dossal Charles,Gobet Emmanuel,Meziou Asma,Munos Rémi,Reboul-Salze Damien

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11009-006-0427-8.pdf

Reference15 articles.

1. A. Benveniste, M. Metivier, and P. Priouret, Adaptive Algorithms and Stochastic Approximations, Springer: Berlin Heidelberg New York, 1990.

2. D. P. Bertsekas, Dynamic Programming and Optimal Control, vols. 1 and 2, Athena Scientific: Belmont, Massachusetts, 1995.

3. D. P. Bertsekas and S. E. Shreve, Stochastic Optimal Control: The Discrete Time Case. vol. 139 of Mathematics in Science and Engineering, Academic: New York, [Harcourt Brace Jovanovich Publishers], 1978.

4. L. Clewlow, C. Strickland, and V. Kaminski, “Valuation of Swing contracts,” Technical report, Energy Power Risk Management, Risk Waters Group, July 2001.

5. E. Gobet and R. Munos, “Sensitivity analysis using Itô-Malliavin calculus and martingales. Application to stochastic control problem,” SIAM Journal on Control and Optimization vol. 43(5) pp. 1676–1713, 2005.

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