Optimal stopping with signatures

Christian Bayer, Paul Hager, Sebastian Riedel and John Schoenmakers

Papers from arXiv.org

Abstract: We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by linear and non-linear functionals of the rough path signature $\mathbb{X}^{

Date: 2021-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://arxiv.org/pdf/2105.00778 Latest version (application/pdf)

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:arx:papers:2105.00778

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().