Dynamic programming for optimal stopping via pseudo-regression
Year of publication: |
2021
|
---|---|
Authors: | Bayer, Christian ; Redmann, Martin ; Schoenmakers, John |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 1, p. 29-44
|
Subject: | Basket options | Bermudan options | Linear regression | Monte Carlo simulation | Option pricing | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Dynamic programming | Optionsgeschäft | Option trading | Suchtheorie | Search theory | Regressionsanalyse | Regression analysis | Simulation |
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