A Nonparametric Algorithm for Optimal Stopping Based on Robust Optimization

DOI10.1287/opre.2023.2461arXiv2103.03300OpenAlexW3164619535MaRDI QIDQ6195058

Bradley Sturt

Publication date: 12 March 2024

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.03300

zbMATH Keywords

optimal stoppingrobust optimizationoptions pricing

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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