Swing contract pricing: with and without Neural Networks
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Patrick Jaillet & Damien Lamberton & Bernard Lapeyre, 1990. "Variational inequalities and the pricing of American options," Post-Print hal-01667008, HAL.
- Thompson, Andrew C., 1995. "Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-or-Pay," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(2), pages 271-293, June.
- Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- Arnak S. Dalalyan, 2017.
"Theoretical guarantees for approximate sampling from smooth and log-concave densities,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 651-676, June.
- Arnak S. Dalalyan, 2014. "Theoretical guarantees for approximate sampling from smooth and log-concave densities," Working Papers 2014-45, Center for Research in Economics and Statistics.
- Pierre Bras & Gilles Pagès, 2022. "Langevin algorithms for Markovian Neural Networks and Deep Stochastic control," Working Papers hal-03980632, HAL.
- Olivier Bardou & Sandrine Bouthemy & Gilles Pages, 2009. "Optimal Quantization for the Pricing of Swing Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 183-217.
- Arnak Dalalyan, 2017. "Further and stronger analogy between sampling and optimization: Langevin Monte Carlo and gradient descent," Working Papers 2017-21, Center for Research in Economics and Statistics.
- L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gilles Pag`es & Christian Yeo, 2024. "Convex ordering for stochastic control: the swing contracts case," Papers 2406.07464, arXiv.org, revised Jun 2024.
- Ariel Neufeld & Matthew Ng Cheng En & Ying Zhang, 2024. "Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems," Papers 2403.09532, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
- Dong, Wenfeng & Kang, Boda, 2019. "Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation," Energy Economics, Elsevier, vol. 79(C), pages 76-96.
- Liu, Xiaoran & Ronn, Ehud I., 2020. "Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments," Energy Economics, Elsevier, vol. 87(C).
- Pflug, Georg C. & Broussev, Nikola, 2009. "Electricity swing options: Behavioral models and pricing," European Journal of Operational Research, Elsevier, vol. 197(3), pages 1041-1050, September.
- Ivan Guo & Nicolas Langren'e & Jiahao Wu, 2023. "Simultaneous upper and lower bounds of American option prices with hedging via neural networks," Papers 2302.12439, arXiv.org, revised Apr 2024.
- Berridge, S.J. & Schumacher, J.M., 2002.
"An Irregular Grid Approach for Pricing High Dimensional American Options,"
Discussion Paper
2002-99, Tilburg University, Center for Economic Research.
- Berridge, S.J. & Schumacher, J.M., 2004. "An Irregular Grid Approach for Pricing High-Dimensional American Options," Discussion Paper 2004-18, Tilburg University, Center for Economic Research.
- Berridge, S.J. & Schumacher, J.M., 2002. "An Irregular Grid Approach for Pricing High Dimensional American Options," Other publications TiSEM 416a6d43-3466-47e0-b656-d, Tilburg University, School of Economics and Management.
- Berridge, S.J. & Schumacher, J.M., 2004. "An Irregular Grid Approach for Pricing High-Dimensional American Options," Other publications TiSEM 7371422b-c2a8-4b71-8749-6, Tilburg University, School of Economics and Management.
- Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
- Berridge, S.J. & Schumacher, J.M., 2004.
"Pricing High-Dimensional American Options Using Local Consistency Conditions,"
Other publications TiSEM
8c8de631-5039-4eec-a965-3, Tilburg University, School of Economics and Management.
- Berridge, S.J. & Schumacher, J.M., 2004. "Pricing High-Dimensional American Options Using Local Consistency Conditions," Discussion Paper 2004-19, Tilburg University, Center for Economic Research.
- Minqiang Li, 2010.
"A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes,"
Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
- Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany.
- Cartea, Álvaro & Williams, Thomas, 2008.
"UK gas markets: The market price of risk and applications to multiple interruptible supply contracts,"
Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
- Alvaro Cartea & Thomas Williams, 2006. "UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts," Birkbeck Working Papers in Economics and Finance 0608, Birkbeck, Department of Economics, Mathematics & Statistics.
- John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
- Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
- Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
- Fabian Dickmann & Nikolaus Schweizer, 2014. "Faster Comparison of Stopping Times by Nested Conditional Monte Carlo," Papers 1402.0243, arXiv.org.
- Zineb El Filali Ech-Chafiq & Pierre Henry-Labordere & Jérôme Lelong, 2021. "Pricing Bermudan options using regression trees/random forests," Working Papers hal-03436046, HAL.
- repec:hum:wpaper:sfb649dp2006-051 is not listed on IDEAS
- Calypso Herrera & Florian Krach & Pierre Ruyssen & Josef Teichmann, 2021. "Optimal Stopping via Randomized Neural Networks," Papers 2104.13669, arXiv.org, revised Dec 2023.
- Anne Laure Bronstein & Gilles Pagès & Jacques Portès, 2013. "Multi-asset American Options and Parallel Quantization," Methodology and Computing in Applied Probability, Springer, vol. 15(3), pages 547-561, September.
- Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009.
"Regression methods in pricing American and Bermudan options using consumption processes,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
- Belomestny, Denis & Milstein, Grigori N. & Spokoiny, Vladimir, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers 2006-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AIN-2023-07-10 (Artificial Intelligence)
- NEP-BIG-2023-07-10 (Big Data)
- NEP-CMP-2023-07-10 (Computational Economics)
- NEP-MFD-2023-07-10 (Microfinance)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2306.03822. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.