Cargando…
American-type options. Vol. 1, Stochastic approximation methods /
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.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin ; Boston :
De Gruyter,
©2014.
|
| Colección: | De Gruyter studies in mathematics ;
56. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000Mi 4500 | ||
|---|---|---|---|
| 001 | EBOOKCENTRAL_ocn913854944 | ||
| 003 | OCoLC | ||
| 005 | 20240329122006.0 | ||
| 006 | m o d | ||
| 007 | cr |n||||||||| | ||
| 008 | 131214s2014 gw o 000 0 eng d | ||
| 040 | |a COCUF |b eng |e pn |c COCUF |d OCLCO |d EBLCP |d YDXCP |d DEBSZ |d OCLCO |d OCLCQ |d OCLCO |d OCLCF |d OCLCO |d OCLCQ |d YDX |d ZCU |d MERUC |d OCLCQ |d U3W |d STF |d ICG |d OCLCQ |d TKN |d DKC |d AU@ |d OCLCQ |d OCLCO |d OCLCQ |d SFB |d OCLCO |d OCLCL | ||
| 019 | |a 865333012 |a 980760451 | ||
| 020 | |a 9783110329827 |q (electronic bk.) | ||
| 020 | |a 3110329824 |q (electronic bk.) | ||
| 020 | |z 9783110329674 |q (alk. paper) | ||
| 020 | |z 3110329670 |q (alk. paper) | ||
| 029 | 1 | |a AU@ |b 000052907575 | |
| 029 | 1 | |a DEBBG |b BV044065387 | |
| 029 | 1 | |a DEBSZ |b 431578451 | |
| 029 | 1 | |a GBVCP |b 774560843 | |
| 035 | |a (OCoLC)913854944 |z (OCoLC)865333012 |z (OCoLC)980760451 | ||
| 050 | 4 | |a HG6024.A3 |b S55 2014 vol. 1 | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 0 | 4 | |a 332.64/53 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Silʹvestrov, D. S. |q (Dmitriĭ Sergeevich) |1 https://id.oclc.org/worldcat/entity/E39PBJdrMrc6RKJV7VyYDWvmBP | |
| 245 | 1 | 0 | |a American-type options. |n Vol. 1, |p Stochastic approximation methods / |c Dmitrii S. Silverstrov. |
| 246 | 3 | 0 | |a Stochastic approximation methods |
| 260 | |a Berlin ; |a Boston : |b De Gruyter, |c ©2014. | ||
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a De Gruyter studies in mathematics ; |v v. 56 | |
| 500 | |a Print version cataloged as a monographic set by Library of Congress. | ||
| 588 | 0 | |a Online resource; title from digital title page (viewed on Jan. 15, 2014). | |
| 505 | 0 | |a Preface; 1 Multivariate modulated Markov log-price processes (LPP); 1.1 Markov LPP; 1.2 LPP represented by random walks; 1.3 Autoregressive LPP; 1.4 Autoregressive stochastic volatility LPP; 2 American-type options; 2.1 American-type options; 2.2 Pay-off functions; 2.3 Reward and log-reward functions; 2.4 Optimal stopping times; 2.5 American-type knockout options; 3 Backward recurrence reward algorithms; 3.1 Binomial tree reward algorithms; 3.2 Trinomial tree reward algorithms; 3.3 Random walk reward algorithms; 3.4 Markov chain reward algorithms; 4 Upper bounds for option rewards. | |
| 505 | 8 | |a 4.1 Markov LPP with bounded characteristics4.2 LPP represented by random walks; 4.3 Markov LPP with unbounded characteristics; 4.4 Univariate Markov Gaussian LPP; 4.5 Multivariate modulated Markov Gaussian LPP; 5 Convergence of option rewards -- I; 5.1 Asymptotically uniform upper bounds for rewards -- I; 5.2 Modulated Markov LPP with bounded characteristics; 5.3 LPP represented by modulated random walks; 6 Convergence of option rewards -- II; 6.1 Asymptotically uniform upper bounds for rewards -- II; 6.2 Univariate modulated LPP with unbounded characteristics. | |
| 505 | 8 | |a 6.3 Asymptotically uniform upper bounds for rewards -- III6.4 Multivariate modulated LPP with unbounded characteristics; 6.5 Conditions of convergence for Markov price processes; 7 Space-skeleton reward approximations; 7.1 Atomic approximation models; 7.2 Univariate Markov LPP with bounded characteristics; 7.3 MultivariateMarkov LPP with bounded characteristics; 7.4 LPP represented by multivariate modulated random walks; 7.5 MultivariateMarkov LPP with unbounded characteristics; 8 Convergence of rewards for Markov Gaussian LPP; 8.1 Univariate Markov Gaussian LPP. | |
| 505 | 8 | |a 8.2 Multivariate modulated Markov Gaussian LPP8.3 Markov Gaussian LPP with estimated characteristics; 8.4 Skeleton reward approximations for Markov Gaussian LPP; 8.5 LPP represented by Gaussian random walks; 9 Tree-type approximations for Markov Gaussian LPP; 9.1 Univariate binomial tree approximations; 9.2 Multivariate binomial tree approximations; 9.3 Multivariate trinomial tree approximations; 9.4 Inhomogeneous in space binomial approximations; 9.5 Inhomogeneous in time and space trinomial approximations; 10 Convergence of tree-type reward approximations. | |
| 505 | 8 | |a 10.1 Univariate binomial tree approximation models10.2 Multivariate homogeneous in space tree models; 10.3 Univariate inhomogeneous in space tree models; 10.4 Multivariate inhomogeneous in space tree models; Bibliographical Remarks; Bibliography; Index. | |
| 520 | |a 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. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Options (Finance) |x Mathematical models. | |
| 650 | 0 | |a Stochastic approximation. | |
| 650 | 0 | |a Markov processes. | |
| 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 | 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. | ||
| 653 | |a Approximation Algorithm. | ||
| 653 | |a Convergence of Rewards. | ||
| 653 | |a Markov Chain. | ||
| 653 | |a Optimal Stopping. | ||
| 758 | |i has work: |a American-type options (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGG8j7qxRcBfVHW3V9Gcrm |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Silvestrov, Dmitrii S. |t American-Type Options : Stochastic Approximation Methods, Volume 1. |d Berlin : De Gruyter, ©2013 |z 9783110329674 |
| 830 | 0 | |a De Gruyter studies in mathematics ; |v 56. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1575440 |z Texto completo |
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL1575440 | ||
| 938 | |a YBP Library Services |b YANK |n 10818878 | ||
| 994 | |a 92 |b IZTAP | ||