Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction (Q5879352)

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scientific article; zbMATH DE number 7657803
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Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
scientific article; zbMATH DE number 7657803

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    Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction (English)
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    28 February 2023
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    asset price model
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    option pricing in high dimensions
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    optimization based model order reduction
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    Lévy processes
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