American-type options. Vol. 1, Stochastic approximation methods /

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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.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Silʹvestrov, D. S. (Dmitriĭ Sergeevich)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin ; Boston : De Gruyter, ©2014.
Colección:De Gruyter studies in mathematics ; 56.
Temas:
Options (Finance) > Mathematical models.
Stochastic approximation.
Markov processes.
Markov Chains
Options (Finances) > Modèles mathématiques.
Approximation stochastique.
Processus de Markov.
Markov processes
Options (Finance) > Mathematical models
Stochastic approximation
American Option.
Approximation Algorithm.
Convergence of Rewards.
Markov Chain.
Optimal Stopping.
Acceso en línea:Texto completo
Descripción
Sumario: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.
Notas:Print version cataloged as a monographic set by Library of Congress.
Descripción Física:1 online resource
ISBN:9783110329827
3110329824

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