Solving the optimal stopping problem with reinforcement learning: an application in financial option exercise

1 code implementation • 21 Jul 2022 • Leonardo Kanashiro Felizardo, Elia Matsumoto, Emilio Del-Moral-Hernandez

We employ a data-driven method that uses Monte Carlo simulation to train and test artificial neural networks (ANN) to solve the optimal stopping problem.

Management Reinforcement Learning (RL) +1