Using stochastic optimization methods for stock selling decision making and option pricing: numerics and bias and variance dependent convergence rates

DOI10.4310/CIS.2007.V7.N2.A1zbMath1140.91376OpenAlexW2072455006MaRDI QIDQ936477

Publication date: 14 August 2008

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cis/1184963914

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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