Screen LibraryAmerican-type options : stochastic approximation methods, volume 1 /
This book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. It is the first volume of the comprehensive two volumes monograph.
Saved in:
| Main Authors: | |
|---|---|
| Corporate Authors: | |
| Published: |
De Gruyter,
|
| Publisher Address: | Berlin/Boston : |
| Publication Dates: | [2013] |
| Literature type: | eBook |
| Language: | English |
| Series: |
De gruyter studies in mathematics;
56 Dmitrii s. silvestrov: american-type options; Volume 1 |
| Subjects: | |
| Online Access: |
http://dx.doi.org/10.1515/9783110329827 http://www.degruyter.com/doc/cover/9783110329827.jpg |
| Summary: |
This book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. It is the first volume of the comprehensive two volumes monograph. |
| Carrier Form: |
1 online resource (x, 509 pages) : illustrations. Also available in print edition. |
| ISBN: | 9783110329827 |
| Index Number: | HG6024 |
| CLC: | F830.9 |
| Contents: |
Frontmatter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards I -- 6. Convergence of option rewards II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Backmatter. |