Solving high-dimensional optimal stopping problems using deep learning

@article{Becker2021SolvingHO,
  title={Solving high-dimensional optimal stopping problems using deep learning},
  author={Sebastian Becker and Patrick Cheridito and Arnulf Jentzen and Timo Welti},
  journal={European Journal of Applied Mathematics},
  year={2021},
  volume={32},
  pages={470 - 514}
}
Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional optimal stopping problems, since the dimension corresponds to the number of underlying assets. High-dimensional optimal stopping problems are, however, notoriously difficult to solve due to the well-known curse of dimensionality. In this work, we propose an algorithm for solving such problems, which is based on deep… Expand
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