A Nonparametric Algorithm for Optimal Stopping Based on Robust Optimization
References
- (1999) A simple approach to the pricing of Bermudan swaptions in the multi-factor LIBOR market model. J. Comput. Finance 3(2):5–32.Crossref, Google Scholar
- (2004) Primal-dual simulation algorithm for pricing multidimensional American options. Management Sci. 50(9):1222–1234.Link, Google Scholar
- (2003) A quantization algorithm for solving multidimensional discrete-time optimal stopping problems. Bernoulli. 9(6):1003–1049.Crossref, Google Scholar
- (2019) Implied stopping rules for American basket options from Markovian projection. Quant. Finance 19(3):371–390.Crossref, Google Scholar
- (2020) Pricing American options by exercise rate optimization. Quant. Finance. 20(11):1–12.Google Scholar
- (2014) On the robust optimal stopping problem. SIAM J. Control Optim. 52(5):3135–3175.Crossref, Google Scholar
- (2019) Deep optimal stopping. J. Mach. Learn. Res. 20:74.Google Scholar
- (2011a) On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems. Ann. Appl. Probab. 21(1):215–239.Crossref, Google Scholar
- (2011b) Pricing Bermudan options by nonparametric regression: Optimal rates of convergence for lower estimates. Finance Stochastics 15(4):655–683.Crossref, Google Scholar
- (2013) Solving optimal stopping problems via empirical dual optimization. Ann. Appl. Probab. 23(5):1988–2019.Crossref, Google Scholar
- (2009) Robust Optimization, vol. 28 (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
- (2023) A data-driven approach to multistage stochastic linear optimization. Management Sci. 69(1):51–74.Link, Google Scholar
- (2020) Discrete-type approximations for non-Markovian optimal stopping problems: Part ii. Methodol. Comput. Appl. Probab. 22(3):1–35.Google Scholar
- (1997) The valuation of American options on multiple assets. Math. Finance 7(3):241–286.Crossref, Google Scholar
- (1997) Pricing American-style securities using simulation. J. Econom. Dynam. Control 21(8–9):1323–1352.Crossref, Google Scholar
- (2010) Information relaxations and duality in stochastic dynamic programs. Oper. Res. 58(4 pt 1):785–801.Link, Google Scholar
- (2005) What is known about Robbins’ problem? J. Appl. Probab. 42(1):108–120.Crossref, Google Scholar
- (1996) Valuation of the early-exercise price for options using simulations and nonparametric regression. Insurance Math. Econom. 19(1):19–30.Crossref, Google Scholar
- (2020) Interpretable optimal stopping. Management Sci. 68(3):1616–1638.Link, Google Scholar
- (2002) An analysis of a least squares regression method for American option pricing. Finance Stochastics 6(4):449–471.Crossref, Google Scholar
- (2014) Integer Programming, vol. 271 (Springer, Cham, Switzerland).Crossref, Google Scholar
- (1985) A time-dependent stopping problem with application to live organ transplants. Oper. Res. 33(3):491–504.Link, Google Scholar
- (2015) Robust Multistage Decision Making. The Operations Research Revolution (INFORMS, Catonsville, MD) 20–46.Link, Google Scholar
- (2012) Pathwise optimization for optimal stopping problems. Management Sci. 58(12):2292–2308.Link, Google Scholar
- (2005) Monte Carlo algorithms for optimal stopping and statistical learning. Ann. Appl. Probab. 15(2):1396–1432.Crossref, Google Scholar
- (2021) Deep reinforcement learning for optimal stopping with application in financial engineering. Preprint, submitted May 19, https://arxiv.org/abs/2105.08877.Google Scholar
- (1995) Optimal starting times for end-of-season sales and optimal stopping times for promotional fares. Management Sci. 41(8):1371–1391.Link, Google Scholar
- (2003) Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule. J. Econom. Dynam. Control 27(10):1855–1879.Crossref, Google Scholar
- (2018) Volatility is rough. Quant. Finance 18(6):933–949.Crossref, Google Scholar
- (2012) Multilevel Monte Carlo methods for American options. Master’s thesis, University of Oxford.Google Scholar
- (2013) Monte Carlo Methods in Financial Engineering, vol. 53 (Springer Science & Business Media, New York).Google Scholar
- (2004) Number of paths vs. number of basis functions in American option pricing. Ann. Appl. Probab. 14(4):2090–2119.Crossref, Google Scholar
- (2018) Beating the curse of dimensionality in options pricing and optimal stopping. Preprint, submitted July 6, https://arxiv.org/abs/1807.02227.Google Scholar
- (2020) Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Quant. Finance 20(4):573–591.Crossref, Google Scholar
- (2004) Pricing American options: A duality approach. Oper. Res. 52(2):258–270.Link, Google Scholar
- (2004) 50th anniversary article: Selection, provisioning, shared fixed costs, maximum closure, and implications on algorithmic methods today. Management Sci. 50(6):709–723.Link, Google Scholar
- (2021) Monitoring with limited information. Management Sci. 67(7):4233–4251.Link, Google Scholar
- (1994) The minimum satisfiability problem. SIAM J. Discrete Math. 7(2):275–283.Crossref, Google Scholar
- (1992) Pricing options with curved boundaries. Math. Finance 2(4):275–298.Crossref, Google Scholar
- (2019) Discrete-type approximations for non-Markovian optimal stopping problems: Part I. J. Appl. Probab. 56(4):981–1005.Crossref, Google Scholar
- (2001) Valuing American options by simulation: A simple least-squares approach. Rev. Financial Stud. 14(1):113–147.Crossref, Google Scholar
- (2013) Max flows in o(nm) time, or better. Proc. Forty-Fifth Annual ACM Sympos. Theory Comput. (Association for Computing Machinery, New York), 765–774.Google Scholar
- (1976) Maximal closure of a graph and applications to combinatorial problems. Management Sci. 22(11):1268–1272.Link, Google Scholar
- Reuters (2021) U.S. equity options set new volume record. Accessed March 1, 2021, https://www.reuters.com/article/us-usa-stocks-options-idUSKBN29K2OI.Google Scholar
- (1970) A selection problem of shared fixed costs and network flows. Management Sci. 17(3):200–207.Link, Google Scholar
- (2009) Optimal stopping with multiple priors. Econometrica 77(3):857–908.Crossref, Google Scholar
- (2002) Monte Carlo valuation of American options. Math. Finance 12(3):271–286.Crossref, Google Scholar
- (2001) Regression methods for pricing complex American-style options. IEEE Trans. Neural Netw. 12(4):694–703.Crossref, Google Scholar
- (2020) General error estimates for the Longstaff–Schwartz least-squares Monte Carlo algorithm. Math. Oper. Res. 45(3):923–946.Link, Google Scholar

