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

10.20347/WIAS.PREPRINT.2697

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.

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