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On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation.
Thomas S. Knudsen
Bernhard Meister
Mihail Zervos
Published in:
Finance Stochastics (1999)
Keyphrases
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dynamic programming
greedy algorithm
neural network
state space
optimal control
real time
computer vision
linear programming
stereo matching
decision making
relational databases
markov decision processes
infinite horizon
dynamic programming algorithms