Is Reinforcement Learning Good at American Option Valuation?

This paper investigates algorithms for identifying the optimal policy for pricing American Options. The American Option pricing is reformulated as a Sequential Decision-Making problem with two binary actions (Exercise or Continue), transforming it into an optimal stopping time problem. Both the leas...

詳細記述

書誌詳細

出版年:	Algorithms
主要な著者:	Peyman Kor, Reidar B. Bratvold, Aojie Hong
フォーマット:	論文
言語:	英語
出版事項:	MDPI AG 2024-09-01
主題:	reinforcement learning dynamic programming American option least square Monte Carlo
オンライン･アクセス:	https://www.mdpi.com/1999-4893/17/9/400