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 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
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 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
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 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|