American-type options. Vol. 1, Stochastic approximation methods /

Show other versions (1)

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.

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Silʹvestrov, D. S. (Dmitriĭ Sergeevich)
Format: Electronic eBook
Language:Inglés
Published: Berlin ; Boston : De Gruyter, ©2014.
Series:De Gruyter studies in mathematics ; 56.
Subjects:
Options (Finance) > Mathematical models.
Stochastic approximation.
Markov processes.
Markov Chains
Options (Finances) > Modèles mathématiques.
Approximation stochastique.
Processus de Markov.
Markov processes
Options (Finance) > Mathematical models
Stochastic approximation
American Option.
Approximation Algorithm.
Convergence of Rewards.
Markov Chain.
Optimal Stopping.
Online Access:Texto completo

Internet

Texto completo

Error inesperado del formato de respuesta.
Holdings details from

Similar Items