Screen LibraryAmerican-type options : stochastic approximation methods, volume 2 /
The second volume of this systematical presentation of stochastic approximation methods for models of American-type options presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressi...
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| Main Authors: | |
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| Corporate Authors: | |
| Published: |
De Gruyter,
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| Publisher Address: | Berlin/Boston : |
| Publication Dates: |
[2015] ©2015 |
| Literature type: | eBook |
| Language: | English |
| Series: |
De gruyter studies in mathematics;
57 Dmitrii s. silvestrov: american-type options; Volume 2 |
| Subjects: | |
| Online Access: |
http://dx.doi.org/10.1515/9783110329841 http://www.degruyter.com/doc/cover/9783110329841.jpg |
| Summary: |
The second volume of this systematical presentation of stochastic approximation methods for models of American-type options presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies. |
| Carrier Form: |
1 online resource (xii, 559 pages) : illustrations. Also available in print edition. |
| ISBN: | 9783110329841 |
| Index Number: | HG6024 |
| CLC: | F830.9 |
| Contents: |
Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics. |