3 papers
q-fin.MF2026
Entropy-regularized penalization schemes and reflected BSDEs with singular generators
Daniel Chee, Noufel Frikha, Libo Li
This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized p…
q-fin.CP2026
A Monotone Limit Approach to Entropy-Regularized American Options
Daniel Chee, Noufel Frikha, Libo Li
Recent advances in continuous-time optimal stopping have been driven by entropy-regularized formulations of randomized stopping problems, with most existing approaches relying on p…
math.PR2025
An Entropy Regularized BSDE Approach to Bermudan Options and Games
Noufel Frikha, Libo Li, Daniel Chee
In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan opti…