# 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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