American-type options

American-type options: stochastic approximation methods

by Silvestrov, Dmitrii S.

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Title Statements

  • Full title :American-type options : stochastic approximation methods. / Dmitrii S. Silvestrov.

Edition Statements

  • Publication Date:2015.

Publication Statements

  • Publisher(s):De Gruyter
  • Place of Publication:Berlin
  • Language:eng
  • Publication Date:2015.

The Physical Object

  • Description:xi, 558 pages : : illustrations ; : 25 cm.

Edition Identifiers

  • ISBN:9783110329681, 3110329689
  • oclc:ocn907557695
  • LC Classification:HG6024.A3
  • Dewey Decimal:332.6453

Table of Contents

Machine generated contents note: 1.1. Markov Gaussian LPP -- 1.2. Autoregressive LPP -- 1.3. Autoregressive moving average LPP -- 1.4. Modulated Markov Gaussian LPP -- 1.5. Modulated autoregressive LPP -- 1.6. Modulated autoregressive moving average LPP -- 2.1. Nonlinear autoregressive stochastic volatility LPP -- 2.2. Autoregressive conditional heteroskedastic LPP -- 2.3. Generalized autoregressive conditional heteroskedastic LPP -- 2.4. Modulated nonlinear autoregressive stochastic volatility LPP -- 2.5. Modulated autoregressive conditional heteroskedastic LPP -- 2.6. Modulated generalized autoregressive conditional heteroskedastic LPP -- 3.1. Markov LPP -- 3.2. LPP with independent increments -- 3.3. Diffusion LPP -- 3.4. American-type options for Markov LPP -- 4.1. Upper bounds for rewards for Markov LPP -- 4.2. Asymptotically uniform conditions of compactness for Markov LPP -- 4.3. Upper bounds for rewards for LPP with independent increments -- 4.4. Upper bounds for rewards for diffusion LPP.

Contents note continued: 4.5. Upper bounds for rewards for mean-reverse diffusion LPP -- 5.1. Lipschitz-type conditions for pay-off functions -- 5.2. Time-skeleton approximations for op…

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Subjects

Approximation stochastique Business mathematics Markov Chains Markov processes Mathématiques financières Options (Finance) -- Mathematical models Options (Finances) -- Modèles mathémati… Processus de Markov Stochastic approximation

Writers

Silvestrov, Dmitrii S.

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