Convex ordering for stochastic control: the swing contracts case

By Gilles Pagès, Christian Yeo

Published 2024-06-13

Everscope rating

1480.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Convex ordering theory. Problem types: Stochastic Optimal Control, Option Pricing.

arXiv:2406.07464 · Paper rankings

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