A new approach for pricing discounted American options.
Tsvetelin S. ZaevskiPublished in: Commun. Nonlinear Sci. Numer. Simul. (2021)
Keyphrases
- option pricing
- black scholes model
- double exponential
- black scholes
- united states
- markov decision processes
- profit maximization
- decision analysis
- data sets
- mechanism design
- infinite horizon
- stock price
- optimal policy
- dynamic programming
- financial markets
- average cost
- finite horizon
- cash flow
- reinforcement learning
- databases
- dynamic pricing
- pricing model
- linear programming