Solving high-dimensional optimal stopping problems using deep learning - BECKER, SEBASTIAN; CHERIDITO, PATRICK; JENTZEN, ARNULF; WELTI, TIMO (European journal of applied mathematics, 2021)
Keywords: Algorithms; Applied mathematics; Deep learning; Machine learning; Pricing; Put & call options; Stochastic processes; optimal stopping; deep learning; American option; 91G60; derivative pricing; curse of dimensionality; 60G40; 68T07; 65C05; option pricing; financial derivative; Bermudan option