A valuation algorithm for indifference prices in incomplete markets.
Marek MusielaThaleia ZariphopoulouPublished in: Finance Stochastics (2004)
Keyphrases
- detection algorithm
- learning algorithm
- objective function
- segmentation algorithm
- k means
- computationally efficient
- np hard
- computational complexity
- search space
- dynamic programming
- computational cost
- worst case
- improved algorithm
- theoretical analysis
- noisy data
- particle swarm optimization
- linear programming
- high accuracy
- cost function
- preprocessing
- convergence rate
- simulated annealing
- matching algorithm
- classification algorithm
- clustering method
- expectation maximization
- data structure
- image sequences