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American-type options. Volume 1, Stochastic approximation methods /
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.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin ; Boston :
De Gruyter,
©2014.
©2014 |
| Colección: | De Gruyter studies in mathematics ;
56. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Silʹvestrov, D. S. |q (Dmitriĭ Sergeevich) | |
| 245 | 1 | 0 | |a American-type options. |n Volume 1, |p Stochastic approximation methods / |c Dmitrii S. Silverstrov. |
| 246 | 3 | 0 | |a Stochastic approximation methods |
| 260 | |a Berlin ; |a Boston : |b De Gruyter, |c ©2014. | ||
| 264 | 4 | |c ©2014 | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file | ||
| 347 | |b PDF | ||
| 490 | 1 | |a De Gruyter studies in mathematics ; |v v. 56 | |
| 500 | |a Print version cataloged as a monographic set by Library of Congress. | ||
| 588 | 0 | |a Online resource; title from digital title page (viewed on January 15, 2014). | |
| 520 | |a 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. | ||
| 546 | |a In English. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | 0 | |t Frontmatter -- |t Preface -- |t Contents -- |t 1. Multivariate modulated Markov log-price processes (LPP) -- |t 2. American-type options -- |t 3. Backward recurrence reward algorithms -- |t 4. Upper bounds for option rewards -- |t 5. Convergence of option rewards -- I -- |t 6. Convergence of option rewards -- II -- |t 7. Space-skeleton reward approximations -- |t 8. Convergence of rewards for Markov Gaussian LPP -- |t 9. Tree-type approximations for Markov Gaussian LPP -- |t 10. Convergence of tree-type reward approximations -- |t Bibliographical Remarks -- |t Bibliography -- |t Index -- |t Backmatter. |
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Options (Finance) |x Mathematical models. | |
| 650 | 0 | |a Stochastic approximation. | |
| 650 | 0 | |a Markov processes. | |
| 650 | 2 | |a Markov Chains | |
| 650 | 6 | |a Options (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Approximation stochastique. | |
| 650 | 6 | |a Processus de Markov. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Markov processes |2 fast | |
| 650 | 7 | |a Options (Finance) |x Mathematical models |2 fast | |
| 650 | 7 | |a Stochastic approximation |2 fast | |
| 653 | |a (Produktform)Electronic book text | ||
| 653 | |a (Zielgruppe)Fachpublikum/ Wissenschaft | ||
| 653 | |a (BISAC Subject Heading)MAT003000 | ||
| 653 | |a (BISAC Subject Heading)MAT030000: MAT030000 MATHEMATICS / Study & Teaching | ||
| 653 | |a (BISAC Subject Heading)MAT029000: MAT029000 MATHEMATICS / Probability & Statistics / General | ||
| 653 | |a American Option; Optimal Stopping; Convergence of Rewards; Markov Chain; Approximation Algorithm | ||
| 653 | |a EBK: eBook | ||
| 653 | |a (VLB-WN)9620 | ||
| 776 | 0 | 8 | |i Print version: |a Silvestrov, Dmitrii S. |t American-Type Options : Stochastic Approximation Methods, Volume 1. |d Berlin : De Gruyter, ©2013 |z 9783110329674 |
| 830 | 0 | |a De Gruyter studies in mathematics ; |v 56. | |
| 856 | 4 | 0 | |u https://ebsco.uam.elogim.com/login.aspx?direct=true&scope=site&db=nlebk&AN=674415 |z Texto completo |
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