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Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps.
Weinan Zhang
Pingping Zeng
Yue Kuen Kwok
Published in:
Oper. Res. Lett. (2023)
Keyphrases
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computationally efficient
computationally expensive
learning algorithm
computational complexity
computationally intensive
significant improvement
computational cost
higher order
optimization problems
theoretical analysis
highly efficient
computationally complex
parallel architectures