Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements.
Sofiane MadiMohamed Cherif BourasMohamed HaiourAndreas StahelPublished in: Appl. Math. Comput. (2018)
Keyphrases
- dynamic programming
- learning algorithm
- finite element
- optimization algorithm
- computational cost
- experimental evaluation
- segmentation algorithm
- improved algorithm
- times faster
- preprocessing
- probabilistic model
- cost function
- particle swarm optimization
- computationally efficient
- computational complexity
- tree structure
- np hard
- k means
- input data
- theoretical analysis
- boundary conditions
- high accuracy
- clustering method
- worst case
- objective function