An Overview of Approximate Dynamic Programming Methods for Optimal Stopping Problems
摘要
The use of numerical and algorithmic techniques to solve problems in optimal stopping and financial engineering has significantly increased over the last two decades. Here,we provide a reviewof numerical approaches for optimal stopping problems with a focus on the valuation of American Options. We first introduce optimal stopping problems and how they apply to the valuation of American options. We then summarise different classes of numerical techniques and provide details for some selected algorithms.