Is Reinforcement Learning Good at American Option Valuation?
This paper investigates algorithms for identifying the optimal policy for pricing American Options. The American Option pricing is reformulated as a Sequential Decision-Making problem with two binary actions (Exercise or Continue), transforming it into an optimal stopping time problem. Both the leas...
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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2024-09-01
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| Col·lecció: | Algorithms |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/1999-4893/17/9/400 |
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