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ArticleInterpretable Optimal Stopping

Dragos Florin Ciocan2018

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Interpretable Optimal Stopping

Dragos Florin Ciocan · Velibor V. Mišić

54 citations·0/0 files stored·Management Science

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Stochastic processes and financial applications Risk and Portfolio Optimization Adaptive Dynamic Programming Control

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References

1979Option pricing: A simplified approach 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1997Pricing American-style securities using simulation 2001Regression methods for pricing complex American-style options 2002Monte Carlo valuation of American options 1996Valuation of the early-exercise price for options using simulations and nonparametric regression 2004Pricing American Options: A Duality Approach 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

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2021Big data driven order-up-to level model: Application of machine learning 2022Deep stochastic optimization in finance 2025Modeling Generative AI and Social Entrepreneurial Searches: A Contextualized Optimal Stopping Approach 2025Flow-through tensors: A unified computational graph architecture for multi-layer transportation network optimization

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2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2003Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rulearticle · 8 shared references 2013Multilevel dual approach for pricing American style derivativesarticle · 8 shared references 2009An efficient implementation of a least squares Monte Carlo method for valuing American-style optionsarticle · 8 shared references 2012A unified approach to multiple stopping and dualityarticle · 8 shared references 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Optionsarticle · 7 shared references

Details

Year2018

Typearticle

Published2018-01-01

VenueManagement Science

ISSN-L0025-1909

Languageen

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1287/mnsc.2020.3592

openalex_workW2902668302

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