Pathwise Optimization for Optimal Stopping Problems

We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the "price") of a high-dimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping problems as optim...

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Bibliographic Details
Published in:	Management science Vol. 58; no. 12; pp. 2292 - 2308
Main Authors:	Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.
Format:	Journal Article
Language:	English
Published:	Hanover, MD INFORMS 01.12.2012 Institute for Operations Research and the Management Sciences
Subjects:	Algorithms American option American options Analysis Applied sciences Approximate values Approximation Bermudian options Dynamic programming Dynamische Optimierung Econometrics Economic dynamics Economic performance Exact sciences and technology Experiments Management science Markov analysis Markov chains Markov processes Markovian processes Martingales Mathematical functions Mathematical optimization Mathematical programming Monte-Carlo-Simulation Multidimensional scales Operational research and scientific management Operational research. Management science optimal control optimal stopping Optimal stopping (Mathematical statistics) Optimization Optionspreistheorie Portfolio theory Predictability Pricing Studies Suchtheorie Value United States Lower bound Optimal stopping Square root Martingale Function approximation Convex programming Dynamic method Optimization Markov chain Bermudian options Upper bound American option Predictability Optimal control Pricing Alternative method Approximation theory American options Dynamic programming
ISSN:	0025-1909, 1526-5501
Online Access:	Get full text
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