Deep optimal stopping
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Abstract: In this paper we develop a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such, it is broadly applicable in situations where the underlying randomness can efficiently be simulated. We test the approach on three problems: the pricing of a Bermudan max-call option, the pricing of a callable multi barrier reverse convertible and the problem of optimally stopping a fractional Brownian motion. In all three cases it produces very accurate results in high-dimensional situations with short computing times.
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Cited in
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- What Next?
- DEEP EQUILIBRIUM NETS
- Pricing Bermudan Options Using Regression Trees/Random Forests
- Optimal stopping with signatures
- Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
- Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
- Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations
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