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American-type options. Volume 2, Stochastic approximation methods /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin :
Walter de Gruyter GmbH,
[2015]
|
| Colección: | De Gruyter studies in mathematics ;
57. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Silʹvestrov, D. S. |q (Dmitriĭ Sergeevich), |e author. | |
| 245 | 1 | 0 | |a American-type options. |n Volume 2, |p Stochastic approximation methods / |c Dmitrii S. Silvestrov. |
| 264 | 1 | |a Berlin : |b Walter de Gruyter GmbH, |c [2015] | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a De Gruyter studies in mathematics ; |v volume 57 | |
| 588 | 0 | |a Online resource; title from digital title page (viewed on February 9, 2015). | |
| 505 | 0 | 0 | |t Frontmatter -- |t Preface -- |t Contents -- |t 1 Reward approximations for autoregressive log-price processes (LPP) -- |t 2 Reward approximations for autoregressive stochastic volatility LPP -- |t 3 American-type options for continuous time Markov LPP -- |t 4 Upper bounds for option rewards for Markov LPP -- |t 5 Time-skeleton reward approximations for Markov LPP -- |t 6 Time-space-skeleton reward approximations for Markov LPP -- |t 7 Convergence of option rewards for continuous time Markov LPP -- |t 8 Convergence of option rewards for diffusion LPP -- |t 9 European, knockout, reselling and random pay-off options -- |t 10 Results of experimental studies -- |t Bibliographical Remarks -- |t Bibliography -- |t Index -- |t De Gruyter Studies in Mathematics. |
| 520 | |a 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. | ||
| 546 | |a In English. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 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 | 0 | |a Business mathematics. | |
| 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 | 6 | |a Mathématiques financières. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Business mathematics |2 fast | |
| 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 American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm. | ||
| 776 | 0 | 8 | |i Print version: |a Silvestrov, Dmitrii S. |t American-type options. Volume 2, Stochastic approximation methods. |d Berlin, Germany : De Gruyter, ©2015 |h xi, 558 pages |k De Gruyter studies in mathematics ; Volume 57 |x 0179-0986 |z 9783110329681 |
| 830 | 0 | |a De Gruyter studies in mathematics ; |v 57. | |
| 856 | 4 | 0 | |u https://ebsco.uam.elogim.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643 |z Texto completo |
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