A new deep neural network algorithm for multiple stopping with applications in options pricing

DOI10.1016/J.CNSNS.2022.106881zbMath1505.91381OpenAlexW4295136292MaRDI QIDQ2108626

Yanyan Li

Publication date: 20 December 2022

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2022.106881

zbMATH Keywords

Monte Carlodeep learningswing optionsmultiple optimal stopping

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Adam

Cites Work

• Unnamed Item
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• Probability
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Solving high-dimensional partial differential equations using deep learning
• Deep optimal stopping

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