https://github.com/aurelienperez/swing-options
Implementation of the two parametric strategies from Swing Contract Pricing: With and Without Neural Networks, combining global stochastic optimisation with either a payoff-volume model or a neural network.
https://github.com/aurelienperez/swing-options
adam langevin-dynamics stochastic-optimization swing-contracts
Last synced: about 1 month ago
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Implementation of the two parametric strategies from Swing Contract Pricing: With and Without Neural Networks, combining global stochastic optimisation with either a payoff-volume model or a neural network.
- Host: GitHub
- URL: https://github.com/aurelienperez/swing-options
- Owner: aurelienperez
- License: mit
- Created: 2025-05-01T22:17:48.000Z (5 months ago)
- Default Branch: main
- Last Pushed: 2025-05-01T22:21:05.000Z (5 months ago)
- Last Synced: 2025-06-04T00:45:26.031Z (4 months ago)
- Topics: adam, langevin-dynamics, stochastic-optimization, swing-contracts
- Language: Jupyter Notebook
- Homepage:
- Size: 1.41 MB
- Stars: 1
- Watchers: 1
- Forks: 0
- Open Issues: 0