Applying Reinforcement Learning to American Option Pricing
碩士 === 國立政治大學 === 金融學系 === 107 === In this paper we apply the reinforcement learning method to American options pricing. We mainly consider the least squares policy iteration (LSPI) proposed by Li, Szepesvari and Schuurmans(2009) to learn the exercise policy and pricing method of American put option...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6ys2hd |