Congratulations to Dr. Cosmin Borsa for completing his PhD
Cosmin successfully defended his thesis on Mar 17, 2026.
Title: American Option Pricing in Continuous Time via Reinforcement Learning
Abstract: American options are ubiquitous in financial markets, and many numerical methods price them by approximating their continuous-time exercise feature with a discrete sequence of stopping opportunities. Under classical dynamic programming, a coarse grid with only a few stopping opportunities can materially undervalue the option, whereas on a very fine grid, approximation errors accumulate through the backward recursion and may ultimately break down the computation. We develop a least squares Monte Carlo (LSMC)-inspired algorithm that prices high-dimensional American options in continuous time, in settings where alternative approaches are impractical.
