Efficiently pricing European-Asian options - ultimate implementation and analysis of the AMO algorithm.
Akiyoshi ShiouraTakeshi TokuyamaPublished in: Inf. Process. Lett. (2006)
Keyphrases
- computational complexity
- dynamic programming
- selection algorithm
- np hard
- matching algorithm
- improved algorithm
- learning algorithm
- estimation algorithm
- experimental evaluation
- high accuracy
- expectation maximization
- computationally efficient
- optimization algorithm
- optimal solution
- recognition algorithm
- cost function
- simulated annealing
- clustering method
- classification algorithm
- complexity analysis
- parallel implementation
- memory requirements
- significant improvement
- k means
- search space
- objective function
- similarity measure
- feature selection