A Monotone Limit Approach to Entropy-Regularized American Options

By Daniel Chee, Noufel Frikha, Libo Li

Published 2026-02-20

Everscope rating

1881.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Entropy-Regularized Penalization Scheme via Reflected BSDEs. Problem types: Optimization, Reinforcement Learning, Portfolio Optimization, Risk Management.

arXiv:2602.18062 · Paper rankings

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