Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
DOI10.1080/1350486X.2022.2154682MaRDI QIDQ5879352FDOQ5879352
Authors: Martin Redmann 
Publication date: 28 February 2023
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.08951
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asset price modelLévy processesoptimization based model order reductionoption pricing in high dimensions
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) System structure simplification (93B11)
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