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stat.ML2011
Adaptive Hedge
Tim van Erven, Peter Grünwald, Wouter M. Koolen +1
Most methods for decision-theoretic online learning are based on the Hedge algorithm, which takes a parameter called the learning rate. In most previous analyses the learning rate…
q-fin.PR2011★ 4 cited
Probability-free pricing of adjusted American lookbacks
A. Philip Dawid, Steven de Rooij, Peter Grunwald +5
Consider an American option that pays G(X^*_t) when exercised at time t, where G is a positive increasing function, X^*_t := \sup_{s\le t}X_s, and X_s is the price of the underlyin…