Numerical methods for the pricing of Swing options: a stochastic control approach

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Submitted on 1 Dec 2006

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Numerical methods for the pricing of Swing options: a stochastic control approach

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

To cite this version:

Christophe Barrera-Esteve, Florent Bergeret, Charles Dossal, Emmanuel Gobet, Asma Meziou, et al..

Numerical methods for the pricing of Swing options: a stochastic control approach. Methodology and Computing in Applied Probability, Springer Verlag, 2006, Methodology and Computing in Applied Probability, 8 (4), pp.517-540. �10.1007/s11009-006-0427-8�. �inria-00117175�

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