HIGHLIGHTS
- who: Thomas Deschatre& Joseph Mikael from the pour l`u00e9dition scientifique ouverte have published the Article: Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing, in the Journal: (JOURNAL)
- what: Unlike continuous optimization where automatic differentiation is used directly the authors propose a likelihood ratio method for gradient computation. The authors compare in Table 4.2 the results obtained by Algorithm 1 with the results of_[24] in the case of a put option with d=1, g(x)=(K - x)+, K=40, S0 u2208 {35, 40, 45}, r=0.0488 . . .
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