Policy Iteration for Learning an Exercise Policy for American Options

Lecture Notes in Computer Science - Recent Advances in Reinforcement Learning ◽

10.1007/978-3-540-89722-4_13 ◽

2008 ◽

pp. 165-178

Author(s):

Yuxi Li ◽

Dale Schuurmans

Keyword(s):

American Options ◽

Policy Iteration

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A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation

Computers & Mathematics with Applications ◽

10.1016/j.camwa.2017.02.040 ◽

2017 ◽

Vol 73 (9) ◽

pp. 1932-1944 ◽

Author(s):

Xu Chen ◽

Wenfei Wang ◽

Deng Ding ◽

Siu-Long Lei

Keyword(s):

Iteration Method ◽

American Options ◽

Hjb Equation ◽

Policy Iteration ◽

Options Valuation

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On the Use of Policy Iteration as an Easy Way of Pricing American Options

SIAM Journal on Financial Mathematics ◽

10.1137/110823328 ◽

2012 ◽

Vol 3 (1) ◽

pp. 459-478 ◽

Author(s):

C. Reisinger ◽

J. H. Witte

Keyword(s):

American Options ◽

Policy Iteration

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A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching

Journal of Scientific Computing ◽

10.1007/s10915-013-9739-3 ◽

2013 ◽

Vol 58 (2) ◽

pp. 409-430 ◽

Author(s):

J. Babbin ◽

P. A. Forsyth ◽

G. Labahn

Keyword(s):

Optimal Stopping ◽

Regime Switching ◽

American Options ◽

Policy Iteration ◽

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Enhanced policy iteration for American options via scenario selection

Quantitative Finance ◽

10.1080/14697680701253013 ◽

2008 ◽

Vol 8 (2) ◽

pp. 135-146 ◽

Author(s):

Christian Bender ◽

Anastasia Kolodko ◽

John Schoenmakers

Keyword(s):

American Options ◽

Policy Iteration

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Policy iteration for american options: overview

Monte Carlo Methods and Applications ◽

10.1515/156939606779329053 ◽

2006 ◽

Vol 12 (5) ◽

Author(s):

Christian Bender ◽

Anastasia Kolodko ◽

John Schoenmakers

Keyword(s):

American Options ◽

Policy Iteration

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A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options

The Journal of Computational Finance ◽

10.21314/jcf.2000.054 ◽

2000 ◽

Vol 4 (1) ◽

pp. 21-56 ◽

Author(s):

Jacqueline Huang ◽

Jong-Shi Pang

Keyword(s):

Mathematical Programming ◽

Implied Volatility ◽

American Options ◽

Equilibrium Constraints ◽

Implied Volatility Surface ◽

Volatility Surface

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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LP valuation of exotic American options exploiting structure

The Journal of Computational Finance ◽

10.21314/jcf.1998.020 ◽

1998 ◽

Vol 2 (1) ◽

pp. 61-84 ◽

Author(s):

M Dempster ◽

J Hutton ◽

d Richards

Keyword(s):

American Options

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Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications

The Journal of Risk ◽

10.21314/jor.2001.055 ◽

2001 ◽

Vol 4 (1) ◽

pp. 35-61 ◽

Author(s):

Peter Jäckel ◽

Riccardo Rebonato

Keyword(s):

Lower Bound ◽

Scenario Analysis ◽

American Options ◽

Time Dependent ◽

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Variance reduction techniques for pricing American options using function approximations

The Journal of Computational Finance ◽

10.21314/jcf.2009.208 ◽

2009 ◽

Vol 12 (3) ◽

pp. 79-102 ◽

Author(s):

Sandeep Juneja ◽

Himanshu Kalra

Keyword(s):

Variance Reduction ◽

American Options ◽

Variance Reduction Techniques ◽

Reduction Techniques ◽

Function Approximations

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