The Parareal Algorithm for American Options.

Gilles Pagès Olivier Pironneau Guillaume Sall

Published in: SIAM J. Financial Math. (2018)

Keyphrases

computational cost
k means
preprocessing
high accuracy
cost function
improved algorithm
computational complexity
selection algorithm

learning algorithm
np hard
clustering method
linear programming
search space
dynamic programming
detection algorithm
segmentation algorithm

simulated annealing
probabilistic model
times faster
search strategy
optimal solution
objective function
neural network
estimation algorithm

theoretical analysis
computationally efficient
particle swarm optimization
experimental evaluation
color images
image segmentation
genetic algorithm
machine learning