Iterative construction of the optimal Bermudan stopping time.

Anastasia Kolodko John Schoenmakers

Published in: Finance Stochastics (2006)

Keyphrases

dynamic programming
optimal solution
globally optimal
case study
closed form
optimal design
optimal control
data driven
probabilistic model
finding optimal
exhaustive search
worst case
database
multi objective
reinforcement learning
website
real world
neural network