A new deep neural network algorithm for multiple stopping with applications in options pricing
A new deep neural network algorithm for multiple stopping with applications in options pricing
复制标题
一种新的深度神经网络算法，用于多重停止在期权定价中的应用
DOI：
10.1016/j.cnsns.2022.106881
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发表时间：
2022-09
影响因子：
3.9
通讯作者：
Nan Li
中科院分区：
文献类型：
--
作者：
Yuecai Han;Nan Li
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 samples. We also derive lower and upper bounds and confidence intervals for the values. Finally, we apply the algorithm to the pricing of swing options, and it produces accurate results in high-dimensional problems. • A deep learning-based algorithm for high-dimensional optimal multiple stopping problems is introduced. • Lower bounds, upper bounds and confidence intervals for the optimal value are constructed. • Applications to high-dimensional swing options are considered.
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影响因子：
1.7
作者：
J. Schoenmakers
通讯作者：
J. Schoenmakers
影响因子：
1.6
作者：
Nicolai Meinshausen;Ben M. Hambly
通讯作者：
Nicolai Meinshausen;Ben M. Hambly
影响因子：
1.8
作者：
M. Kobylanski;M. Quenez;Elisabeth Rouy-Mironescu
通讯作者：
M. Kobylanski;M. Quenez;Elisabeth Rouy-Mironescu
DOI：
10.4018/978-1-7998-1192-3.ch008
发表时间：
2020
期刊：
Advances in Systems Analysis, Software Engineering, and High Performance Computing
影响因子：
--
作者：
Menaga D.;R. S.
通讯作者：
Menaga D.;R. S.
DOI：
10.4018/978-1-5225-9096-5.ch007
发表时间：
2021-07
期刊：
Smart Computational Intelligence in Biomedical and Health Informatics
影响因子：
--
作者：
A. Sinha;S. Gupta;Anurag Tiwari;Amrita Chaturvedi
通讯作者：
A. Sinha;S. Gupta;Anurag Tiwari;Amrita Chaturvedi