Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options.
Leif AndersenMark BroadiePublished in: Manag. Sci. (2004)
Keyphrases
- primal dual
- linear programming
- convergence rate
- algorithm for linear programming
- learning algorithm
- linear program
- affine scaling
- simplex algorithm
- semidefinite programming
- interior point algorithm
- mathematical model
- np hard
- convex optimization
- simulated annealing
- dual formulation
- computational complexity
- simplex method
- linear programming problems
- randomly generated
- interior point methods
- variational inequalities
- approximation algorithms
- worst case
- optimal solution