American-type options

American-type options

by Silʹvestrov, D. S., (Dmitriĭ Sergeevich)

Type Book
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This 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. It is the first volume of the comprehensive two volumes monograph.

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Title Statements

  • Full title :American-type options. / Dmitrii S. Silverstrov.

Summary

This 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. It is the first volume of the comprehensive two volumes monograph.

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Edition Statements

  • Publication Date:©2014

Publication Statements

  • Publisher(s):De Gruyter
  • Place of Publication:Berlin
  • Language:eng
  • Publication Date:©2014

Notes

Print version cataloged as a monographic set by Library of Congress.

The Physical Object

  • Description:1 online resource

Edition Identifiers

  • ISBN:9783110329827, 3110329824, 9783110329841, 3110329840
  • DOI:10.1515/9783110329827
  • oclc:ocn872699857
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.64/53

Subjects

(Produktform)Electronic book text (VLB-WN)9620 (Zielgruppe)Fachpublikum/ Wissenschaft American Option; Optimal Stopping; Conv… Approximation stochastique Business & Economics -- Finance EBK: eBook Markov Chains Markov processes Options (Finance) -- Mathematical models Options (Finances) -- Modèles mathémati… Processus de Markov Stochastic approximation

Writers

Silʹvestrov, D. S., (Dmitriĭ Sergeevich)

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