A new deep neural network algorithm for multiple stopping with applications in options pricing

In this paper, we propose a deep learning method to solve high-dimensional optimal multiple stopping problems. We represent the policies of multiple stopping problems by the composition of functions. Using the new representation, we approximate the optimal stopping policy recursively with simulation...

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Bibliographic Details

Published in:	Communications in nonlinear science & numerical simulation Vol. 117; p. 106881
Main Authors:	Han, Yuecai, Li, Nan
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01.02.2023
Subjects:	Deep learning Monte Carlo Multiple optimal stopping Swing options Deep learning Multiple optimal stopping Swing options Monte Carlo
ISSN:	1007-5704, 1878-7274
Online Access:	Get full text
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