Stochastic mesh method for optimal stopping problems

Kashtanov Yuri ()
Additional contact information
Kashtanov Yuri: Faculty of Mathematics and Mechanics, Saint Petersburg State University,Universitetsky Prospekt, 28, 198504, Peterhof, Saint Petersburg, Russia

Monte Carlo Methods and Applications, 2017, vol. 23, issue 2, 121-129

Abstract: A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.

Keywords: Optimal stopping; stochastic mesh (search for similar items in EconPapers)
Date: 2017
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/mcma-2017-0107 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:mcmeap:v:23:y:2017:i:2:p:121-129:n:5

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/mcma/html

DOI: 10.1515/mcma-2017-0107

Access Statistics for this article

Monte Carlo Methods and Applications is currently edited by Karl K. Sabelfeld

More articles in Monte Carlo Methods and Applications from De Gruyter
Bibliographic data for series maintained by Peter Golla ().