A convergent quadratic-time lattice algorithm for pricing European-style Asian options.
William Wei-Yuan HsuYuh-Dauh LyuuPublished in: Appl. Math. Comput. (2007)
Keyphrases
- computational complexity
- dynamic programming
- objective function
- detection algorithm
- np hard
- times faster
- tree structure
- worst case
- search space
- computational cost
- learning algorithm
- matching algorithm
- high accuracy
- neural network
- significant improvement
- ant colony optimization
- provably convergent
- improved algorithm
- recognition algorithm
- similarity measure
- optimal solution
- expectation maximization
- preprocessing
- k means
- experimental evaluation
- particle swarm optimization
- image sequences
- lower bound
- estimation algorithm
- lattice structure