American-type options. Volume 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.
©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.
BUSINESS & ECONOMICS > Finance.
Markov processes
Options (Finance) > Mathematical models
Stochastic approximation
(Produktform)Electronic book text
(Zielgruppe)Fachpublikum/ Wissenschaft
(BISAC Subject Heading)MAT003000
(BISAC Subject Heading)MAT030000: MAT030000 MATHEMATICS / Study & Teaching
(BISAC Subject Heading)MAT029000: MAT029000 MATHEMATICS / Probability & Statistics / General
American Option; Optimal Stopping; Convergence of Rewards; Markov Chain; Approximation Algorithm
EBK: eBook
(VLB-WN)9620
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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