Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Fast Lower and Upper Estimates for the Price of Constrained Multiple
  Exercise American Options by Single Pass Lookahead Search and
  Nearest-Neighbor Martingale   This article presents fast lower and upper estimates for a large class of
options: the class of constrained multiple exercise American options. Typical
options in this class are swing options with volume and timing constraints, and
passport options with multiple lookback rights. The lower estimate algorithm
uses the artificial intelligence method of lookahead search. The upper estimate
algorithm uses the dual approach to option pricing on a nearest-neighbor basis
for the martingale space. Probabilistic convergence guarantees are provided.
Several numerical examples illustrate the approaches including a swing option
with four constraints, and a passport option with 16 constraints.

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The categories of this paper are: ao-sci
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The categories of this paper are: chao-dyn
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The categories of this paper are: adap-org
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The categories of this paper are: q-bio
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The categories of this paper are: math-ph
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The categories of this paper are: astro-ph
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The categories of this paper are: dg-ga
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The categories of this paper are: gr-qc
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The categories of this paper are: nucl-ex
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The categories of this paper are: stat
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The categories of this paper are: supr-con
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The categories of this paper are: quant-ph
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The categories of this paper are: hep-lat
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The categories of this paper are: econ
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The categories of this paper are: cmp-lg
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The categories of this paper are: hep-th