3 citations · 3 across the 5 of their papers we have counts for
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q-fin.MF2024
Convex ordering for stochastic control: the (path dependent) swing contracts case
Gilles Pagès, Christian Yeo
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the u…
q-fin.MF2023
An analysis of linear regression and neural networks approximation for the pricing of swing options
Christian Yeo
Linear regression, firstly introduced for the pricing of American-style options, has since been expanded to include swing options pricing. Swing options price may be viewed as the…
q-fin.MF2023★ 3 cited
Swing contract pricing: with and without Neural Networks
Vincent Lemaire, Gilles Pagès, Christian Yeo
We propose two parametric approaches to evaluate swing contracts with firm constraints. Our objective is to define approximations for the optimal control, which represents the amou…