Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
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Publication:2094859
DOI10.5802/msia.26zbMath1504.91335arXiv2001.11247OpenAlexW3120784770MaRDI QIDQ2094859
Thomas Deschatre, Joseph Mikael
Publication date: 8 November 2022
Published in: MathematicS In Action (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.11247
neural networkoptimal stoppingartificial intelligenceAmerican optionswing optioncombinatorial optimisation
Numerical methods (including Monte Carlo methods) (91G60) Combinatorial optimization (90C27) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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