WIAS Preprint No. 2697, (2020)
Randomized optimal stopping algorithms and their convergence analysis
Authors
- Bayer, Christian
ORCID: 0000-0002-9116-0039 - Belomestny, Denis
- Hager, Paul
- Pigato, Paolo
- Schoenmakers, John G. M.
ORCID: 0000-0002-4389-8266
2010 Mathematics Subject Classification
- 60G40 65C05
Keywords
- Randomized optimal stopping, convergence rates, Bermudan options
DOI
Abstract
In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimization algorithms. In particular we prove the convergence of the proposed algorithms and derive the corresponding convergence rates.
Appeared in
- SIAM J. Financial Math., 12 (2021), pp. 1201--1225, DOI 10.1137/20M1373876 .
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