Primal and dual optimal stopping with signatures

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Publication:6462432

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arXiv2312.03444MaRDI QIDQ6462432

Christian Bayer, Luca Pelizzari, John G. M. Schoenmakers

Publication date: 6 December 2023

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Rough paths (60L20) Signatures and data streams (60L10)

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