Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm.
Wai Man TseLeong Kwan LiKai Wang NgPublished in: Manag. Sci. (2001)
Keyphrases
- preprocessing
- theoretical analysis
- dynamic programming
- high accuracy
- computational cost
- times faster
- detection algorithm
- significant improvement
- np hard
- learning algorithm
- optimal solution
- expectation maximization
- simulated annealing
- search space
- computational complexity
- experimental evaluation
- cost function
- particle swarm optimization
- k means
- improved algorithm
- tree structure
- convex hull
- continuous optimization
- computationally efficient
- worst case