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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Bibliographic Details
Main Author: Li, N. (Author)
Format: Article
Language:English
Published: MDPI 2022
Subjects:
Online Access:View Fulltext in Publisher