Optimal algorithms for k-search with application in option pricing
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Optimal algorithms for \(k\)-search with application in option pricing
Optimal algorithms for \(k\)-search with application in option pricing
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Cites work
- scientific article; zbMATH DE number 1232130 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A New Model for Interest Rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A multiple-choice secretary algorithm with applications to online auctions
- Financial Modelling with Jump Processes
- Improved algorithms and analysis for secretary problems and generalizations
- Online trading algorithms and robust option pricing
- Optimal adaptive price search
- Optimal search and one-way trading online algorithms
- Option pricing when underlying stock returns are discontinuous
- Stochastic calculus for finance. II: Continuous-time models.
- The pricing of options and corporate liabilities
- Worst-case scenario investment for insurers
Cited in
(19)- Optimal search and one-way trading online algorithms
- Online k-max Search Algorithms with Applications to the Secretary Problem
- Online algorithms for the multiple time series search problem
- Optimal online two-way trading with bounded number of transactions
- Optimal Algorithms for k-Search with Application in Option Pricing
- Optimal algorithms for online time series search and one-way trading with interrelated prices
- Online algorithms for the general \(k\)-search problem
- Competitive analysis of bi-directional non-preemptive conversion
- Online two stage \(k\)-search problem and its competitive analysis
- Optimal online \(k\)-min search
- Optimal replenishment under price uncertainty
- Competitive difference analysis of the one-way trading problem with limited information
- Online \((J, K)\)-search problem and its competitive analysis
- How much is it worth to know the future in online conversion problems?
- Online two-way trading: randomization and advice
- Optimal algorithms for the online time series search problem
- Competitive algorithms for unbounded one-way trading
- An online trading problem with an increasing number of available products
- Advice complexity of the online search problem
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