Stochastic mesh method for optimal stopping problems

DOI10.1134/S1063454120030097zbMath1460.62134OpenAlexW3088199527MaRDI QIDQ5919085

Igor' Pavlovich Fedyaev, Yuriĭ Nikolaevich Kashtanov

Publication date: 16 February 2021

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1063454120030097

zbMATH Keywords

optimal stoppingstochastic mesh methodAsian option with geometric average

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Optimal stopping in statistics (62L15)

Cites Work

• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Optimal Stopping Rules
• Stochastic mesh method for optimal stopping problems

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