• Corpus ID: 248863327

Solving high-dimensional optimal stopping problems using optimization based model order reduction

@inproceedings{Redmann2022SolvingHO,
  title={Solving high-dimensional optimal stopping problems using optimization based model order reduction},
  author={Martin Redmann},
  year={2022}
}
Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such computations are based on regression, a method that suffers from the curse of dimensionality. Therefore, the objective of this paper is to establish dimension reduction schemes for large-scale asset price models and to solve related optimal stopping problems (e.g. Bermudan option pricing) in the reduced setting, where… 

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