Model-Independent Bounds for Asian Options: A Dynamic Programming Approach.

Alexander M. G. Cox Sigrid Källblad

Published in: SIAM J. Control. Optim. (2017)

Keyphrases

dynamic programming
statistical model
theoretical framework
similarity measure
mathematical model
computational model
linear programming
worst case
autoregressive
prediction model
em algorithm
input data
decision making
upper bound
management system
prior knowledge
expert systems
lower bound
knowledge base