American-type options
by Silʹvestrov, D. S., (Dmitriĭ Sergeevich)
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.
Read More ↓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.
Read More ↓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
- oclc:ocn913854944
- LC Classification:HG6024.A3
- Dewey Decimal:332.64/53
Table of Contents
Preface; 1 Multivariate modulated Markov log-price processes (LPP); 1.1 Markov LPP; 1.2 LPP represented by random walks; 1.3 Autoregressive LPP; 1.4 Autoregressive stochastic volatility LPP; 2 American-type options; 2.1 American-type options; 2.2 Pay-off functions; 2.3 Reward and log-reward functions; 2.4 Optimal stopping times; 2.5 American-type knockout options; 3 Backward recurrence reward algorithms; 3.1 Binomial tree reward algorithms; 3.2 Trinomial tree reward algorithms; 3.3 Random walk reward algorithms; 3.4 Markov chain reward algorithms; 4 Upper bounds for option rewards.
4.1 Markov LPP with bounded characteristics4.2 LPP represented by random walks; 4.3 Markov LPP with unbounded characteristics; 4.4 Univariate Markov Gaussian LPP; 4.5 Multivariate modulated Markov Gaussian LPP; 5 Convergence of option rewards -- I; 5.1 Asymptotically uniform upper bounds for rewards -- I; 5.2 Modulated Markov LPP with bounded characteristics; 5.3 LPP represented by modulated random walks; 6 Convergence of option rewards -- II; 6.1 Asymptotically uniform upper bounds for rewards -- II; 6.2 Univariate modulated LPP with unbounded characteristics.
6.3 Asymptotically uniform upper bounds …
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