Stochastic mesh method for optimal stopping problems

DOI10.1134/S1063454120030097MaRDI QIDQ5919085zbMATHOpenAlexFDO

Authors Yuriĭ Nikolaevich Kashtanov, Igor' Pavlovich Fedyaev

Publication date 16 February 2021

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1063454120030097

zbMATH Keywords

optimal stoppingstochastic mesh methodAsian option with geometric average

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50)

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Cites work

• Optimal Stopping Rules
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Stochastic mesh method for optimal stopping problems

Cited in

(4)

• Revisit of stochastic mesh method for pricing American options
• Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
• Stochastic mesh methods for Hörmander type diffusion processes
• Stochastic mesh method for optimal stopping problems

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