3 papers
q-fin.MF2025
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.MF2025
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…
stat.ML2024
A new Input Convex Neural Network with application to options pricing
Vincent Lemaire, Gilles Pagès, Christian Yeo
We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of…