American-Type Options

Name: American-Type Options
Brand: De Gruyter
SKU: 9783110329681
Price: 172.28 EUR
Availability: InStock

Stochastic Approximation Methods, Volume 2

Автор: Dmitrii S. Silvestrov

Език:

Корици: С твърди корици

Издател: De Gruyter

Наличност: Външен склад

Изпращаме след 10-13 дни

172.28 € 336.95 лв

The book gives a systematical presentation of stochastic approximation methods for discrete time Mar...

Информация за книгата

Автор

Dmitrii S. Silvestrov

Език

Английски език

Корици

Книга - С твърди корици

Издадена

2014

страници

571

EAN

9783110329681

ISBN

3110329689

Enbook ID

02322419

Издател

De Gruyter

Теглоt

1076

Размери

184 x 251 x 36

Пълно описание

The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume 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.

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American-Type Options

Stochastic Approximation Methods, Volume 2

Информация за книгата

Пълно описание

Може също да ви хареса

Клиенти, които купиха тази книга, купиха също