lucapelizzari / Optimal_Stopping_with_signaturesView on GitHub
Implementation of primal and dual method to solve the optimal stopping problem in non-Markovian situations, see https://arxiv.org/abs/2312.03444 for details. Examples include optimal stopping of fractional Brownian motion and pricing American options in rough volatility models rBergomi and rHeston.
☆11May 20, 2026Updated 5 months ago

Alternatives and similar repositories for Optimal_Stopping_with_signatures

Users that are interested in Optimal_Stopping_with_signatures are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.

Sorting:

Are these results useful?