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

DOI10.1007/S00453-008-9217-8zbMath1168.91393OpenAlexW1494101111MaRDI 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 pricingcompetitive analysisonline algorithmstime series searchone-way trading

Mathematics Subject Classification ID

Economic time series analysis (91B84) Search theory (90B40) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (17)

Online Two Stage k-Search Problem and Its Competitive Analysis ⋮ Competitive difference analysis of the one-way trading problem with limited information ⋮ An online trading problem with an increasing number of available products ⋮ Competitive analysis of bi-directional non-preemptive conversion ⋮ Optimal algorithms for the online time series search problem ⋮ Competitive algorithms for unbounded one-way trading ⋮ Optimal algorithms for online time series search and one-way trading with interrelated prices ⋮ Online algorithms for the general \(k\)-search problem ⋮ Optimal replenishment under price uncertainty ⋮ How much is it worth to know the future in online conversion problems? ⋮ Online two-way trading: randomization and advice ⋮ Online \((J, K)\)-search problem and its competitive analysis ⋮ Online algorithms for the multiple time series search problem ⋮ Optimal online \(k\)-min search ⋮ Optimal online two-way trading with bounded number of transactions ⋮ Advice Complexity of the Online Search Problem ⋮ Online k-max Search Algorithms with Applications to the Secretary Problem

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