An Iteration Algorithm for American Options Pricing Based on Reinforcement Learning
In this paper, we present an iteration algorithm for the pricing of American options based on reinforcement learning. At each iteration, the method approximates the expected discounted payoff of stopping times and produces those closer to optimal. In the convergence analysis, a finite sample bound o...
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| Format: | Article |
| Language: | English |
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MDPI
2022
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| Online Access: | View Fulltext in Publisher |