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

optimal stoppingmultilevel Monte Carlopolicy iteration

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3886512 (Why is no real title available?)
• scientific article; zbMATH DE number 3148886 (Why is no real title available?)
• scientific article; zbMATH DE number 700091 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 934464 (Why is no real title available?)
• 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
• Iterative construction of the optimal Bermudan stopping time
• Monte Carlo valuation of American options
• Multilevel Monte Carlo Path Simulation
• Multilevel dual approach for pricing American style derivatives
• 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)

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

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