A dynamic programming approach to price installment options.
Hatem Ben AmeurMichèle BretonPascal FrançoisPublished in: Eur. J. Oper. Res. (2006)
Keyphrases
- dynamic programming
- linear programming
- state space
- greedy algorithm
- optimal control
- single machine
- dynamic programming algorithms
- infinite horizon
- probabilistic model
- optimal policy
- stereo matching
- option pricing
- databases
- piecewise linear
- scheduling problem
- multimedia
- image processing
- feature selection
- information retrieval