Solving optimal stopping problems via empirical dual optimization

DOI10.1214/12-AAP892zbMath1298.60049arXiv1309.2125MaRDI QIDQ373842

Denis Belomestny

Publication date: 25 October 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.2125

zbMATH Keywords

optimal stoppingmartingaledual optimization

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Optimal stopping under model uncertainty: randomized stopping times approach ⋮ Solving optimal stopping problems under model uncertainty via empirical dual optimisation ⋮ Dual Pricing of American Options by Wiener Chaos Expansion ⋮ From optimal martingales to randomized dual optimal stopping ⋮ Optimal stopping via pathwise dual empirical maximisation ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ Discrete-type approximations for non-Markovian optimal stopping problems. II ⋮ Iterative Improvement of Lower and Upper Bounds for Backward SDEs ⋮ Deep optimal stopping ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems ⋮ On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope ⋮ Solving high-dimensional optimal stopping problems using deep learning

Cites Work

• Smooth minimization of non-smooth functions
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Pricing American-style securities using simulation
• Concentration inequalities, large and moderate deviations for self-normalized empirical processes
• Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws.
• Best constants in martingale version of Rosenthal's inequality
• Additive and multiplicative duals for American option pricing
• Introduction to empirical processes and semiparametric inference
• Local tail bounds for functions of independent random variables
• Dual Valuation and Hedging of Bermudan Options
• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
• Pricing American Options: A Duality Approach
• Asymptotic Statistics
• Monte Carlo valuation of American options

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