Recursive lower and dual upper bounds for Bermudan-style options.
Alfredo IbáñezCarlos VelascoPublished in: Eur. J. Oper. Res. (2020)
Keyphrases
- upper bound
- lower bound
- recursive algorithm
- worst case
- tight bounds
- lower and upper bounds
- upper and lower bounds
- branch and bound algorithm
- branch and bound
- generalization error
- real time
- error probability
- upper bounding
- partition function
- significantly lower
- vc dimension
- sufficient conditions
- decision trees
- neural network