摘要
A new method using nonlinear regression to approximate the option price based on approximate dynamic programming is proposed. As a result a representation of the American option price is obtained as a solution to the dual minimization problem. In addition, an available Q-value iteration algorithm in practice is given.
A new method using nonlinear regression to approximate the option price based on approximate dynamic programming is proposed. As a result a representation of the American option price is obtained as a solution to the dual minimization problem. In addition, an available Q-value iteration algorithm in practice is given.
基金
TheNationalNaturalScienceFoudationofChina(No.70301003)andtheScienceandResearchProjectbytheEducationDepartmentofHubeiProvince(No.2002A04004).
