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American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 |
| Record Nr. | UNINA-9910463858603321 |
Silvestrov Dmitrii S
|
||
| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto non controllato |
American Option
Approximation Algorithm Convergence of Rewards Markov Chain Optimal Stopping |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 |
| Record Nr. | UNINA-9910787756203321 |
|
Silvestrov Dmitrii S
|
||
| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov
| American-type options : stochastic approximation methods. Volume 1 / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S |
| Pubbl/distr/stampa | Berlin : , : De Gruyter, , [2014] |
| Descrizione fisica | 1 online resource (520 p.) |
| Disciplina | 332.6/01/5195 |
| Collana | De Gruyter studies in mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Markov processes Business mathematics |
| Soggetto non controllato |
American Option
Approximation Algorithm Convergence of Rewards Markov Chain Optimal Stopping |
| ISBN | 3-11-032982-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 |
| Record Nr. | UNINA-9910814311003321 |
|
Silvestrov Dmitrii S
|
||
| Berlin : , : De Gruyter, , [2014] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||