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Record Nr. |
UNINA9910463858603321 |
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Autore |
Silvestrov Dmitrii S |
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Titolo |
American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
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Pubbl/distr/stampa |
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Berlin : , : De Gruyter, , [2014] |
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©2014 |
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ISBN |
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Descrizione fisica |
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1 online resource (520 p.) |
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Collana |
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De Gruyter studies in mathematics, , 0179-0986 ; ; volume 56 |
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Disciplina |
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Soggetti |
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Options (Finance) - Mathematical models |
Stochastic approximation |
Markov processes |
Business mathematics |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Front matter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards - I -- 6. Convergence of option rewards - II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Back matter |
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Sommario/riassunto |
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The 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. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off |
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