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pro vyhledávání: '"Yeo, Christian"'
Autor:
Pagès, Gilles, Yeo, Christian
We investigate propagation of convexity and convex ordering on a typical stochastic optimal control problem, namely the pricing of \q{\emph{Take-or-Pay}} swing option, a financial derivative product commonly traded on energy markets. The dynamics of
Externí odkaz:
http://arxiv.org/abs/2406.07464
Autor:
Yeo, Christian
Most existing neural network-based approaches for solving stochastic optimal control problems using the associated backward dynamic programming principle rely on the ability to simulate the underlying state variables. However, in some problems, this
Externí odkaz:
http://arxiv.org/abs/2401.12923
Autor:
Yeo, Christian
Least Squares regression was first introduced for the pricing of American-style options, but it has since been expanded to include swing options pricing. The swing options price may be viewed as a solution to a Backward Dynamic Programming Principle,
Externí odkaz:
http://arxiv.org/abs/2307.04510
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 amounts of energy purchased throughout the contract. The first approach in
Externí odkaz:
http://arxiv.org/abs/2306.03822
We propose two parametric approaches to price swing contracts with firm constraints. Our objective is to create approximations for the optimal control, which represents the amounts of energy purchased throughout the contract. The first approach invol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b278a24d18de85215b29074236300199
http://arxiv.org/abs/2306.03822
http://arxiv.org/abs/2306.03822