Solving optimal stopping problems via empirical dual optimization
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Abstract: In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is proposed and studied. The algorithm involves the optimization of a genuinely penalized dual objective functional over a class of adapted martingales. We prove the convergence of the proposed algorithm and demonstrate its efficiency for optimal stopping problems arising in option pricing.
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Cited in
(23)- Optimal stopping via pathwise dual empirical maximisation
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- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization
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- Solving optimal stopping problems under model uncertainty via empirical dual optimisation
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