Neural optimal stopping boundary

DOI10.1111/MAFI.12450MaRDI QIDQ7005097zbMATH OpenFDO

Authors H. Mete Soner, Valentin Tissot-Daguette

Publication date 2 April 2025

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/MAFI.12450

zbMATH Keywords

American derivativesBermudan optionsdeep learningfuzzy boundaryoptimal stoppingstopping boundary problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(3)

• A deep learning-based Monte Carlo algorithm with applications in American options pricing
• Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
• Stopping times of boundaries: relaxation and continuity

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