Optimal algorithms for \(k\)-search with application in option pricing

DOI10.1007/s00453-008-9217-8zbMath1168.91393OpenAlexW1494101111MaRDI QIDQ834594

Julian Lorenz, Angelika Steger, Konstantinos D. Panagiotou

Publication date: 27 August 2009

Published in: Algorithmica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00453-008-9217-8

zbMATH Keywords

option pricingcompetitive analysisonline algorithmstime series searchone-way trading

Mathematics Subject Classification ID

Economic time series analysis (91B84) Search theory (90B40) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20)

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