Reinforcement learning for options on target volatility funds
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- 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.
- Giuseppe Di Graziano & Lorenzo Torricelli, 2012. "Target Volatility Option Pricing," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 8, pages 207-223, World Scientific Publishing Co. Pte. Ltd..
- Martino Grasselli & Jacinto Marabel Romo, 2016. "Stochastic Skew and Target Volatility Options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(2), pages 174-193, February.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Giuseppe Di Graziano & Lorenzo Torricelli, 2012. "Target Volatility Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 1-17.
- 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.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2022-01-10 (Computational Economics)
- NEP-CWA-2022-01-10 (Central and Western Asia)
- NEP-RMG-2022-01-10 (Risk Management)
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