Hatem Ben-Ameur, , Pierre L'Ecuyer, A Dynamic Programming Procedure for Pricing American-Style Asian Options, Management Science, Vol. 48, No. 5 (May, 2002), pp. 625-643 ...

Our results suggest new modeling paradigms for dynamic robust optimization, and our proofs, which bring together ideas from three areas of optimization typically studied separately—robust optimization ...

IEMS 469: Dynamic Programming VIEW ALL COURSE TIMES AND SESSIONS Prerequisites Basic knowledge of probability (random variables, expectation, conditional probability), optimization (gradient), ...