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q-fin.CP2024
A deep primal-dual BSDE method for optimal stopping problems
Jiefei Yang, Guanglian Li
We present a new deep primal-dual backward stochastic differential equation framework based on stopping time iteration to solve optimal stopping problems. A novel loss function is…
q-fin.CP2024
Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
Jiefei Yang, Guanglian Li
We propose an efficient and easy-to-implement gradient-enhanced least squares Monte Carlo method for computing price and Greeks (i.e., derivatives of the price function) of high-di…