Regret Minimization Algorithms for Pricing Lookback Options

DOI10.1007/978-3-642-24412-4_20zbMath1349.91269OpenAlexW1975579394MaRDI QIDQ3093953

Yishay Mansour, Eyal Gofer

Publication date: 19 October 2011

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-24412-4_20

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Online algorithms; streaming algorithms (68W27)