Date of Award
Master of Arts (AM/MA)
An American call (put) option is a contract that gives the holder the right, but not the obligation, to buy (sell) one unit of an asset (typically, stock) at a prespecified price (called strike price) at any desired time before a preset expiration time of the contract. The associated option pricing problem plays an important role in modern financial markets and one way to solve this is by searching for the optimal exercise policy, i.e., find the optimal time to exercise so that maximal reward is achieved. In this thesis, we shall discuss the modern Least Square Policy Iteration Method to solve the American option pricing problem based on Reinforcement Learning and compare it to the method of the Longstaff-Schwartz Method and the Finite Difference Method.
Chair and Committee
Professor José E. Figueroa-López.
Professor Mladen Victor Wickerhauser and Professor Jimin Ding.
Hu, Chenshan, "American Option Pricing: From PDE Numerical Solutions to Simulation-Based Methods and Reinforcement Learning." (2020). Arts & Sciences Electronic Theses and Dissertations. 2035.