Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing
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- Olivier Guéant & Jiang Pu & Royer Guillaume, 2015. "Accelerated Share Repurchase: pricing and execution strategy," Post-Print hal-01393126, HAL.
- Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance ," Working Papers hal-03115503, HAL.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated share repurchase and other buyback programs: what neural networks can bring," Post-Print hal-03252518, HAL.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Working Papers hal-02987889, HAL.
- Maximilien Germain & Huyên Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance ," Post-Print hal-03115503, HAL.
- Olivier Guéant & Jiang Pu & Guillaume Royer, 2015. "Accelerated Share Repurchase: Pricing And Execution Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated Share Repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987889, HAL.
- S. Jaimungal & D. Kinzebulatov & D. H. Rubisov, 2017. "Optimal accelerated share repurchases," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(3), pages 216-245, May.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated share repurchase and other buyback programs: what neural networks can bring," Quantitative Finance, Taylor & Francis Journals, vol. 20(8), pages 1389-1404, August.
- Maximilien Germain & Huy^en Pham & Xavier Warin, 2021. "Neural networks-based algorithms for stochastic control and PDEs in finance," Papers 2101.08068, arXiv.org, revised Apr 2021.
- Olivier Guéant & Iuliia Manziuk & Jiang Pu, 2020. "Accelerated share repurchase and other buyback programs: what neural networks can bring," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252518, HAL.
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This paper has been announced in the following NEP Reports:- NEP-BIG-2023-04-03 (Big Data)
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