𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

✍ Scribed by Christophe Barrera-Esteve; Florent Bergeret; Charles Dossal; Emmanuel Gobet; Asma Meziou; Rémi Munos; Damien Reboul-Salze

Publisher
Springer US
Year
2006
Tongue
English
Weight
854 KB
Volume
8
Category
Article
ISSN
1387-5841

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A unified framework for the numerical so
A unified framework for the numerical solution of optimal control problems using pseudospectral methods
✍ Divya Garg; Michael Patterson; William W. Hager; Anil V. Rao; David A. Benson; G 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 559 KB

A unified framework is presented for the numerical solution of optimal control problems using collocation at Legendre-Gauss (LG), Legendre-Gauss-Radau (LGR), and Legendre-Gauss-Lobatto (LGL) points. It is shown that the LG and LGR differentiation matrices are rectangular and full rank whereas the LG