An Iteration Algorithm for American Options Pricing Based on Reinforcement Learning

An Iteration Algorithm for American Options Pricing Based on Reinforcement Learning

In this paper, we present an iteration algorithm for the pricing of American options based on reinforcement learning. At each iteration, the method approximates the expected discounted payoff of stopping times and produces those closer to optimal. In the convergence analysis, a finite sample bound o...

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Bibliographic Details
Main Author: Nan Li
Format: Article
Language:English
Published: MDPI AG 2022-06-01
Series:Symmetry
Subjects:
American options
deep learning
Monte Carlo
optimal stopping
reinforcement learning
Online Access:https://www.mdpi.com/2073-8994/14/7/1324

Internet

https://www.mdpi.com/2073-8994/14/7/1324

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