Pricing American Options: A Duality Approach.

Martin B. Haugh Leonid Kogan

Published in: Oper. Res. (2004)

Keyphrases

option pricing
black scholes model
double exponential
black scholes
linear programming
united states
decision analysis
stock price
financial markets
revenue management
worst case
learning curve
image processing
dynamic pricing
single product
pricing model
non stationary
reinforcement learning