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

DOI10.1007/s00453-008-9217-8zbMath1168.91393MaRDI 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 pricing; competitive analysis; online algorithms; time series search; one-way trading

Mathematics Subject Classification ID

91B84: Economic time series analysis

90B40: Search theory

90C59: Approximation methods and heuristics in mathematical programming

91G20: Derivative securities (option pricing, hedging, etc.)

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