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

DOI10.1016/J.CNSNS.2022.106881zbMATH Open1505.91381OpenAlexW4295136292MaRDI QIDQ2108626FDOQ2108626

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

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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)

Cites Work

• Optimal multiple stopping time problem
• Title not available (Why is that?)
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing of high-dimensional American options by neural networks
• Valuation of Commodity-Based Swing Options
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• Solving high-dimensional partial differential equations using deep learning
• Probability
• On deep learning as a remedy for the curse of dimensionality in nonparametric regression
• Deep optimal stopping
• A pure martingale dual for multiple stopping
• Deep learning methods for the computation of vibrational wavefunctions
• Nonparametric regression using deep neural networks with ReLU activation function
• A selective overview of deep learning

Cited In (3)

• Deep learning for ranking response surfaces with applications to optimal stopping problems
• Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
• Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction

Uses Software

• Adam

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