Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm

DOI10.1111/MAFI.12271OpenAlexW3030033554MaRDI QIDQ5855969

Maxim Kaledin, Denis Belomestny, John G. M. Schoenmakers

Publication date: 23 March 2021

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

Full work available at URL: https://arxiv.org/abs/1906.09431

zbMATH Keywords

complexityoptimal stoppingAmerican optionsMonte Carlo algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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