American-type options. Volume 2, Stochastic approximation methods /

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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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Silʹvestrov, D. S. (Dmitriĭ Sergeevich) (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin : Walter de Gruyter GmbH, [2015]
Colección:De Gruyter studies in mathematics ; 57.
Temas:
Options (Finance) > Mathematical models.
Stochastic approximation.
Markov processes.
Business mathematics.
Markov Chains
Options (Finances) > Modèles mathématiques.
Approximation stochastique.
Processus de Markov.
Mathématiques financières.
BUSINESS & ECONOMICS > Finance.
Business mathematics
Markov processes
Options (Finance) > Mathematical models
Stochastic approximation
American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm.
Acceso en línea:Texto completo
Descripción
Sumario: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.
Descripción Física:1 online resource
Bibliografía:Includes bibliographical references and index.
ISBN:9783110329841
3110329840
ISSN:0179-0986

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