Author
Daniel Chee
results may include different authors with the same name
3 papers
This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized penalization scheme, inspired by classical penalization…
Recent advances in continuous-time optimal stopping have been driven by entropy-regularized formulations of randomized stopping problems, with most existing approaches relying on partial differential equation methods. In this paper, we…
In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan option, within the so-called exploratory formulation. We…