Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity

DOI10.1137/140958463MaRDI QIDQ2945162zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Marcel Ladkau, John Schoenmakers

Publication date 9 September 2015

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/140958463

zbMATH Keywords

multilevel Monte Carlooptimal stoppingpolicy iteration

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• An iterative method for multiple stopping: convergence and stability
• Enhanced policy iteration for American options via scenario selection
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• scientific article; zbMATH DE number 934464 (Why is no real title available?)
• Iterative construction of the optimal Bermudan stopping time
• Monte Carlo valuation of American options
• Multilevel dual approach for pricing American style derivatives
• Multilevel Monte Carlo Path Simulation
• Nested simulation in portfolio risk measurement
• Pricing American Options: A Duality Approach
• Pricing Bermudan Options via Multilevel Approximation Methods
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(3)

• Solving high-dimensional optimal stopping problems using deep learning
• Unbiased optimal stopping via the MUSE
• On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems

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