An exact subexponential-time lattice algorithm for Asian options.
Tian-Shyr DaiYuh-Dauh LyuuPublished in: Acta Informatica (2007)
Keyphrases
- detection algorithm
- k means
- dynamic programming
- high accuracy
- objective function
- preprocessing
- learning algorithm
- optimization algorithm
- computational complexity
- theoretical analysis
- experimental evaluation
- lattice structure
- matching algorithm
- clustering method
- linear programming
- np hard
- computational cost
- decision trees
- improved algorithm
- selection algorithm
- memory requirements
- times faster
- similarity measure
- tree structure
- bayesian networks
- association rules
- search space
- segmentation algorithm
- significant improvement
- computationally efficient
- expectation maximization
- particle swarm optimization
- cost function