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American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- 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 |
| Record Nr. | UNINA-9910464447303321 |
Silvestrov Dmitrii S.
|
||
| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto non controllato | American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- 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 |
| Record Nr. | UNINA-9910788816603321 |
|
Silvestrov Dmitrii S.
|
||
| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov
| American-type options . Volume 2 Stochastic approximation methods / / Dmitrii S. Silvestrov |
| Autore | Silvestrov Dmitrii S. |
| Pubbl/distr/stampa | Berlin, Germany : , : De Gruyter, , 2015 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 332.6453 |
| Collana | De Gruyter Studies in Mathematics |
| Soggetto topico |
Options (Finance) - Mathematical models
Stochastic approximation Business mathematics |
| Soggetto non controllato | American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm |
| ISBN |
3-11-038990-8
3-11-032984-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- 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 |
| Record Nr. | UNINA-9910822000303321 |
|
Silvestrov Dmitrii S.
|
||
| Berlin, Germany : , : De Gruyter, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||