American-type options. Volume 2, Stochastic approximation methods / Dmitrii S. Silvestrov.
Material type: TextSeries: De Gruyter studies in mathematics ; 57.Publisher: Berlin : Walter de Gruyter GmbH, [2015]Description: 1 online resourceContent type:- text
- computer
- online resource
- 9783110329841
- 3110329840
- Options (Finance) -- Mathematical models
- Stochastic approximation
- Markov processes
- Business mathematics
- Markov Chains
- Options (Finances) -- Modèles mathématiques
- Approximation stochastique
- Processus de Markov
- Mathématiques financières
- BUSINESS & ECONOMICS -- Finance
- Business mathematics
- Markov processes
- Options (Finance) -- Mathematical models
- Stochastic approximation
- 332.64/53 23
- HG6024.A3 S55 2015
Item type | Home library | Collection | Call number | Materials specified | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|---|
Electronic-Books | OPJGU Sonepat- Campus | E-Books EBSCO | Available |
Online resource; title from digital title page (viewed on Feb. 9, 2015).
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.
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.
In English.
Includes bibliographical references and index.
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - Worldwide
There are no comments on this title.