Optimal algorithms for k-search with application in option pricing
DOI10.1007/S00453-008-9217-8zbMATH Open1168.91393OpenAlexW1494101111MaRDI QIDQ834594FDOQ834594
Authors: Julian Lorenz, Angelika Steger, Konstantinos 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
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Derivative securities (option pricing, hedging, etc.) (91G20) Approximation methods and heuristics in mathematical programming (90C59) Economic time series analysis (91B84) Search theory (90B40)
Cites Work
- The pricing of options and corporate liabilities
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- Stochastic calculus for finance. II: Continuous-time models.
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- Option pricing when underlying stock returns are discontinuous
- Worst-case scenario investment for insurers
- Online trading algorithms and robust option pricing
- A multiple-choice secretary algorithm with applications to online auctions
- Optimal search and one-way trading online algorithms
- Optimal adaptive price search
- Improved algorithms and analysis for secretary problems and generalizations
- A New Model for Interest Rates
Cited In (19)
- Competitive algorithms for unbounded one-way trading
- Online two-way trading: randomization and advice
- Optimal online \(k\)-min search
- Optimal Algorithms for k-Search with Application in Option Pricing
- Optimal replenishment under price uncertainty
- Optimal online two-way trading with bounded number of transactions
- Competitive difference analysis of the one-way trading problem with limited information
- Optimal algorithms for online time series search and one-way trading with interrelated prices
- Online two stage \(k\)-search problem and its competitive analysis
- Optimal algorithms for the online time series search problem
- An online trading problem with an increasing number of available products
- Optimal search and one-way trading online algorithms
- Competitive analysis of bi-directional non-preemptive conversion
- Online \((J, K)\)-search problem and its competitive analysis
- Online k-max Search Algorithms with Applications to the Secretary Problem
- Online algorithms for the multiple time series search problem
- Online algorithms for the general \(k\)-search problem
- Advice complexity of the online search problem
- How much is it worth to know the future in online conversion problems?
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