Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products.
John SchoenmakersJianing ZhangJunbo HuangPublished in: SIAM J. Financial Math. (2013)
Keyphrases
- worst case
- exhaustive search
- computationally efficient
- orders of magnitude
- data structure
- learning algorithm
- benchmark datasets
- theoretical analysis
- lower bound
- dynamic programming
- optimization problems
- data analysis
- search algorithm
- decision making
- feature selection
- optimal control
- genetic algorithm
- efficient algorithms for computing