• Corpus ID: 49657504

Beating the curse of dimensionality in options pricing and optimal stopping

@article{Goldberg2018BeatingTC,
  title={Beating the curse of dimensionality in options pricing and optimal stopping},
  author={David Alan Goldberg and Yilun Chen},
  journal={ArXiv},
  year={2018},
  volume={abs/1807.02227}
}
The fundamental problems of pricing high-dimensional path-dependent options and optimal stopping are central to applied probability and financial engineering. Modern approaches, often relying on ADP, simulation, and/or duality, have limited rigorous guarantees, which may scale poorly and/or require previous knowledge of basis functions. A key difficulty with many approaches is that to yield stronger guarantees, they would necessitate the computation of deeply nested conditional expectations… 
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