On the Use of Policy Iteration as an Easy Way of Pricing American Options.
Christoph ReisingerJan Hendrik WittePublished in: SIAM J. Financial Math. (2012)
Keyphrases
- policy iteration
- markov decision processes
- model free
- option pricing
- optimal policy
- sample path
- fixed point
- reinforcement learning
- least squares
- black scholes model
- temporal difference
- infinite horizon
- finite state
- policy evaluation
- average reward
- optimal control
- dynamic programming
- markov decision problems
- linear programming
- markov decision process
- convergence rate
- pairwise
- initial state
- state space
- markov chain
- dynamic pricing
- graph cuts
- asymptotic analysis
- monte carlo
- probabilistic model
- discounted reward