American-Type Options : : Stochastic Approximation Methods. / Volume 1, : American-Type Options ; Stochastic Approximation Methods, Volume 1 / / Dmitrii S. Silvestrov.
The 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. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on...
Saved in:
Superior document: | Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package |
---|---|
VerfasserIn: | |
Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2013] ©2014 |
Year of Publication: | 2013 |
Language: | English |
Series: | De Gruyter Studies in Mathematics ,
56 |
Online Access: | |
Physical Description: | 1 online resource (509 p.) |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Other title: | Frontmatter -- Preface -- Contents -- 1. Multivariate modulated Markov log-price processes (LPP) -- 2. American-type options -- 3. Backward recurrence reward algorithms -- 4. Upper bounds for option rewards -- 5. Convergence of option rewards – I -- 6. Convergence of option rewards – II -- 7. Space-skeleton reward approximations -- 8. Convergence of rewards for Markov Gaussian LPP -- 9. Tree-type approximations for Markov Gaussian LPP -- 10. Convergence of tree-type reward approximations -- Bibliographical Remarks -- Bibliography -- Index -- Backmatter |
---|---|
Summary: | The 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. 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 book also contains an extended bibliography of works in the area. This book is the first volume of the comprehensive two volumes monograph. The second volume will present 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. |
Format: | Mode of access: Internet via World Wide Web. |
ISBN: | 9783110329827 9783110494938 9783110238570 9783110238471 9783110637205 9783110317350 9783110317282 9783110317275 |
ISSN: | 0179-0986 ; |
DOI: | 10.1515/9783110329827 |
Access: | restricted access |
Hierarchical level: | Monograph |
Statement of Responsibility: | Dmitrii S. Silvestrov. |