| Description |
1 online resource |
| Series |
De Gruyter studies in mathematics ; volume 57 |
|
De Gruyter studies in mathematics ; 57.
|
| Contents |
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 |
| Summary |
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 |
| Analysis |
American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm |
| Bibliography |
Includes bibliographical references and index |
| Notes |
In English |
|
Online resource; title from digital title page (viewed on February 9, 2015) |
| Subject |
Options (Finance) -- Mathematical models
|
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Stochastic approximation.
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|
Markov processes.
|
|
Business mathematics.
|
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Markov Chains
|
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BUSINESS & ECONOMICS -- Finance.
|
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Business mathematics
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Markov processes
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Options (Finance) -- Mathematical models
|
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Stochastic approximation
|
| Form |
Electronic book
|
| ISBN |
9783110329841 |
|
3110329840 |
|
