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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| English | 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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0.8085351586341858
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0.7795280814170837
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0.7584694623947144
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0.7433014512062073
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