A Dynamic Programming Procedure for Pricing American-Style Asian Options.

Hatem Ben Ameur Michèle Breton Pierre L'Ecuyer

Published in: Manag. Sci. (2002)

Keyphrases

dynamic programming
option pricing
united states
double exponential
real time
stereo matching
state space
markov decision processes
greedy algorithm
black scholes model
databases
image segmentation
search procedure
dynamic programming algorithms