A new deep neural network algorithm for multiple stopping with applications in options pricing

DOI10.1016/J.CNSNS.2022.106881MaRDI QIDQ2108626zbMATHOpenAlexFDO

Authors Yanyan Li

Publication date 20 December 2022

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2022.106881

zbMATH Keywords

deep learningMonte Carloswing optionsmultiple optimal stopping

Mathematics Subject Classification ID

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

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Cites work

• A pure martingale dual for multiple stopping
• A selective overview of deep learning
• Deep learning methods for the computation of vibrational wavefunctions
• Deep optimal stopping
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Nonparametric regression using deep neural networks with ReLU activation function
• On deep learning as a remedy for the curse of dimensionality in nonparametric regression
• Optimal multiple stopping time problem
• Pricing of high-dimensional American options by neural networks
• Probability
• Reinforcement learning. An introduction
• Solving high-dimensional partial differential equations using deep learning
• Valuation of Commodity-Based Swing Options
• Valuation of the early-exercise price for options using simulations and nonparametric regression

Cited in

(12)

• Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
• Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
• Deep neural network expressivity for optimal stopping problems
• Deep learning for ranking response surfaces with applications to optimal stopping problems
• A deep learning method for pricing high-dimensional American-style options via state-space partition
• Deep signature algorithm for multidimensional path-dependent options
• Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
• Optimal Stopping via Randomized Neural Networks
• Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
• Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
• Lookback option pricing under the double Heston model using a deep learning algorithm
• Solving high-dimensional optimal stopping problems using deep learning

Describes a project that uses

Uses Software

• Adam

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