Becker, Sebastian; Cheridito, Patrick; Jentzen, Arnulf - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-12
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a point estimate and confidence intervals. Finally, it...