Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems

By Yunfei Peng, Pengyu Wei, Wei Wei

Published 2024-05-18

Everscope rating

1865.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Deep Penalty Method (DPM). Problem types: Optimal Stopping, High-Dimensional PDEs, American Option Pricing.

arXiv:2405.11392 · Paper rankings

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