Policy iteration for american options: overview

DOI10.1515/156939606779329053zbMath1303.91168OpenAlexW1973508055MaRDI 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

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Related Items (5)

Stabilized explicit Runge-Kutta methods for multi-asset American options ⋮ Unbiased optimal stopping via the MUSE ⋮ Pricing high-dimensional Bermudan options using the stochastic grid method ⋮ Stochastic approximation methods for American type options ⋮ Solving high-dimensional optimal stopping problems using deep learning

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