Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing

DOI10.1080/1350486X.2023.2239850zbMath1522.91276arXiv2302.07320MaRDI QIDQ6047091

Huyên Pham, Unnamed Author, Pierre Henry-Labordère

Publication date: 9 October 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2302.07320

zbMATH Keywords

reinforcement learningexit timepolicy gradientshare repurchase pricing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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