Deep learning of optimal exercise boundaries for American options

DOI10.1080/00207160.2024.2442585MaRDI QIDQ6991649zbMATH OpenFDO

Authors Hyun-Gyoon Kim, Jeonggyu Huh

Publication date 28 April 2025

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2024.2442585

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stopping times; optimal stopping problems; gambling theory (60G40) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(2)

• Neural network-based pricing of high-dimensional Bermudan basket options under stochastic volatility
• Valuation of American put options under a modified 4/2 stochastic volatility model

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