Optimal algorithms for \(k\)-search with application in option pricing
From MaRDI portal
Publication:834594
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
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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