Login / Signup

An efficient and provable sequential quadratic programming method for American and swing option pricing.

Jinye ShenWeizhang HuangJingtang Ma
Published in: Eur. J. Oper. Res. (2024)
Keyphrases
  • sequential quadratic programming
  • objective function
  • computational complexity
  • dynamic programming
  • probabilistic model
  • artificial intelligence
  • reinforcement learning
  • probability distribution
  • similarity search