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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Silʹvestrov, D. S. (Dmitriĭ Sergeevich) (Auteur)
Format: Électronique eBook
Langue:Inglés
Publié: Berlin : Walter de Gruyter GmbH, [2015]
Collection:De Gruyter studies in mathematics ; 57.
Sujets:
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.
Accès en ligne:Texto completo
Table des matières:
  • Frontmatter
  • Preface
  • Contents
  • 1 Reward approximations for autoregressive log-price processes (LPP)
  • 2 Reward approximations for autoregressive stochastic volatility LPP
  • 3 American-type options for continuous time Markov LPP
  • 4 Upper bounds for option rewards for Markov LPP
  • 5 Time-skeleton reward approximations for Markov LPP
  • 6 Time-space-skeleton reward approximations for Markov LPP
  • 7 Convergence of option rewards for continuous time Markov LPP
  • 8 Convergence of option rewards for diffusion LPP
  • 9 European, knockout, reselling and random pay-off options
  • 10 Results of experimental studies
  • Bibliographical Remarks
  • Bibliography
  • Index
  • De Gruyter Studies in Mathematics.

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