This project replicates and extends the deep learning framework of Becker et al. (2020) for solving optimal stopping problems, including:

• Pricing Bermudan max-call options
• Callable multi-barrier reverse convertibles (MBRCs)
• Stopping fractional Brownian motion

We benchmark results against the Longstaff–Schwartz algorithm.

Sergio Leal, Lana Popović, Pablo Pastor, Matthieu Fisher