Accelerated share repurchase and other buyback programs: what neural networks can bring

DOI10.1080/14697688.2020.1729397zbMath1454.91287arXiv1907.09753OpenAlexW3015764859MaRDI QIDQ5139239

Olivier Guéant, Iuliia Manziuk, Jiang Pu

Publication date: 7 December 2020

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.09753

zbMATH Keywords

optimal stoppingstochastic optimal controlreinforcement learningrecurrent neural networksdeep learningASR contracts

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Learning a functional control for high-frequency finance ⋮ Accelerated Share Repurchases Under Stochastic Volatility ⋮ Operational research and artificial intelligence methods in banking

Cites Work

• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Optimal accelerated share repurchases
• Solving high-dimensional partial differential equations using deep learning
• Deep hedging
• ACCELERATED SHARE REPURCHASE: PRICING AND EXECUTION STRATEGY
• Deep optimal stopping
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