A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options.
M. BroadieY. YamamotoPublished in: Oper. Res. (2005)
Keyphrases
- double exponential
- learning algorithm
- matching algorithm
- k means
- shortest path problem
- computational complexity
- significant improvement
- cost function
- worst case
- simulated annealing
- optimal solution
- np hard
- detection algorithm
- databases
- solution path
- similarity measure
- segmentation algorithm
- data sources
- objective function
- evolutionary algorithm
- search space
- preprocessing