Efficiently Pricing European-Asian Options - Ultimate Implementation and Analysis of the AMO Algorithm.
Akiyoshi ShiouraTakeshi TokuyamaPublished in: AAIM (2005)
Keyphrases
- dynamic programming
- computational cost
- learning algorithm
- times faster
- detection algorithm
- computational complexity
- expectation maximization
- theoretical analysis
- experimental evaluation
- high accuracy
- complexity analysis
- optimization algorithm
- neural network
- optimal solution
- significant improvement
- hardware implementation
- improved algorithm
- selection algorithm
- recognition algorithm
- convergence rate
- similarity measure
- matching algorithm
- computationally efficient
- search space
- probabilistic model
- cost function
- search algorithm
- objective function
- classification algorithm
- data analysis
- particle swarm optimization
- input data
- worst case
- genetic algorithm