Randomized Optimal Stopping Algorithms and Their Convergence Analysis

DOI10.1137/20M1373876zbMath1476.91218arXiv2002.00816MaRDI QIDQ5162847

Denis Belomestny, Christian Bayer, John G. M. Schoenmakers, Paolo Pigato, Paul Hager

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.00816

zbMATH Keywords

convergence rates; Bermudan options; randomized optimal stopping

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

65C30: Numerical solutions to stochastic differential and integral equations