We develop policy gradients methods for stochastic control with exit time in a model-free setting. We propose two types of algorithms for learning either directly the optimal policy or by learning alternately the value function (critic) and the optimal control (actor). The use of randomized...

In this paper, we present a local volatility model with stochastic dividends. The dividends, for which we provide a simple parametrization, are modeled as a function of the underlying. The calibration of the local volatility on market Vanillas is then achieved using a PDE algorithm. We...

Following our papers \cite{HL13,Nat22} on the computation of the Vega $KT$ under the local volatility model, we consider local stochastic volatility models in the present article. Our algorithm is based on the calculation of the local Vega through Monte-Carlo simulation and algorithmic...