Policy iteration for american options: overview

DOI10.1515/156939606779329053zbMath1303.91168MaRDI QIDQ5757062

Christian Bender, John G. M. Schoenmakers, Anastasia Kolodko

Publication date: 24 August 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939606779329053

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

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

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

62L15: Optimal stopping in statistics