Deep optimal stopping (Q5381128): Difference between revisions

@@ label / en / label / en @@
+Deep optimal stopping
@@ Property / arXiv classification @@
+math.NA
@@ Property / arXiv classification: math.NA / rank @@
+Normal rank
@@ Property / arXiv classification @@
+cs.NA
@@ Property / arXiv classification: cs.NA / rank @@
+Normal rank
@@ Property / arXiv classification @@
+math.PR
@@ Property / arXiv classification: math.PR / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05394
@@ Property / arXiv ID: 1804.05394 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5386174
@@ Property / cites work: Q5386174 / rank @@
+Normal rank
@@ Property / cites work @@
+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
+Normal rank
@@ Property / cites work @@
+Solving optimal stopping problems via empirical dual optimization
+Normal rank
@@ Property / cites work @@
+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
+Normal rank
@@ Property / cites work @@
+Multilevel dual approach for pricing American style derivatives
+Normal rank
@@ Property / cites work @@
+Optimal stopping via reinforced regression
@@ Property / cites work: Optimal stopping via reinforced regression / rank @@
+Normal rank
@@ Property / cites work @@
+An irregular grid approach for pricing high-dimensional American options
+Normal rank
@@ Property / cites work @@
+An improved simulation method for pricing high-dimensional American derivatives.
+Normal rank
@@ Property / cites work @@
+Improved lower and upper bound algorithms for pricing American options by simulation
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Additive and multiplicative duals for American option pricing
+Normal rank
@@ Property / cites work @@
+Q4895161
@@ Property / cites work: Q4895161 / rank @@
+Normal rank
@@ Property / cites work @@
+A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options
+Normal rank
@@ Property / cites work @@
+Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
+Normal rank
@@ Property / cites work @@
+Q2744679
@@ Property / cites work: Q2744679 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
+Normal rank
@@ Property / cites work @@
+The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
+Normal rank
@@ Property / cites work @@
+PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
+Normal rank
@@ Property / cites work @@
+Iterative construction of the optimal Bermudan stopping time
+Normal rank
@@ Property / cites work @@
+Q5754578
@@ Property / cites work: Q5754578 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Q3378055
@@ Property / cites work: Q3378055 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Dual Valuation and Hedging of Bermudan Options
@@ Property / cites work: Dual Valuation and Hedging of Bermudan Options / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4550921
@@ Property / cites work: Q4550921 / rank @@
+Normal rank
@@ Property / cites work @@
+DGM: a deep learning algorithm for solving partial differential equations
+Normal rank