A deep learning method for pricing high-dimensional American-style options via state-space partition

DOI10.1007/s40314-024-02660-3MaRDI QIDQ6543764

Unnamed Author, Yuecai Han

Publication date: 25 May 2024

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingstochastic dynamic programmingdeep learninghigh-dimensional American-style option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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