American-Type Options : : Stochastic Approximation Methods. / Volume 2, : American-Type Options ; Stochastic Approximation Methods, Volume 2 / / Dmitrii S. Silvestrov.
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 f...
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Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2014] ©2015 |
Year of Publication: | 2014 |
Language: | English |
Series: | De Gruyter Studies in Mathematics ,
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Silvestrov, Dmitrii S., author. aut http://id.loc.gov/vocabulary/relators/aut American-Type Options : Stochastic Approximation Methods. Volume 2, American-Type Options ; Stochastic Approximation Methods, Volume 2 / Dmitrii S. Silvestrov. Berlin ; Boston : De Gruyter, [2014] ©2015 1 online resource (559 p.) text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda De Gruyter Studies in Mathematics , 0179-0986 ; 57 Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star 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. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 28. Feb 2023) MATHEMATICS / General. bisacsh American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm. Title is part of eBook package: De Gruyter DG Plus DeG Package 2015 Part 1 9783110762518 Title is part of eBook package: De Gruyter DG Plus eBook-Package 2015 9783110700985 Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package 9783110494938 ZDB-23-GSM Title is part of eBook package: De Gruyter EBOOK PACKAGE Complete Package 2014 9783110369526 ZDB-23-DGG Title is part of eBook package: De Gruyter EBOOK PACKAGE Mathematics, Physics 2014 9783110370355 ZDB-23-DEM EPUB 9783110389906 print 9783110329681 https://doi.org/10.1515/9783110329841 https://www.degruyter.com/isbn/9783110329841 Cover https://www.degruyter.com/document/cover/isbn/9783110329841/original |
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English |
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author |
Silvestrov, Dmitrii S., Silvestrov, Dmitrii S., |
spellingShingle |
Silvestrov, Dmitrii S., Silvestrov, Dmitrii S., American-Type Options : Stochastic Approximation Methods. De Gruyter Studies in Mathematics , Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
author_facet |
Silvestrov, Dmitrii S., Silvestrov, Dmitrii S., |
author_variant |
d s s ds dss d s s ds dss |
author_role |
VerfasserIn VerfasserIn |
author_sort |
Silvestrov, Dmitrii S., |
title |
American-Type Options : Stochastic Approximation Methods. |
title_sub |
Stochastic Approximation Methods. |
title_full |
American-Type Options : Stochastic Approximation Methods. Volume 2, American-Type Options ; Stochastic Approximation Methods, Volume 2 / Dmitrii S. Silvestrov. |
title_fullStr |
American-Type Options : Stochastic Approximation Methods. Volume 2, American-Type Options ; Stochastic Approximation Methods, Volume 2 / Dmitrii S. Silvestrov. |
title_full_unstemmed |
American-Type Options : Stochastic Approximation Methods. Volume 2, American-Type Options ; Stochastic Approximation Methods, Volume 2 / Dmitrii S. Silvestrov. |
title_auth |
American-Type Options : Stochastic Approximation Methods. |
title_alt |
Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
title_new |
American-Type Options : |
title_sort |
american-type options : stochastic approximation methods. american-type options ; stochastic approximation methods, volume 2 / |
series |
De Gruyter Studies in Mathematics , |
series2 |
De Gruyter Studies in Mathematics , |
publisher |
De Gruyter, |
publishDate |
2014 |
physical |
1 online resource (559 p.) Issued also in print. |
contents |
Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics |
isbn |
9783110329841 9783110762518 9783110700985 9783110494938 9783110369526 9783110370355 9783110389906 9783110329681 |
issn |
0179-0986 ; |
url |
https://doi.org/10.1515/9783110329841 https://www.degruyter.com/isbn/9783110329841 https://www.degruyter.com/document/cover/isbn/9783110329841/original |
illustrated |
Not Illustrated |
doi_str_mv |
10.1515/9783110329841 |
oclc_num |
903573040 |
work_keys_str_mv |
AT silvestrovdmitriis americantypeoptionsstochasticapproximationmethodsvolume2 |
status_str |
n |
ids_txt_mv |
(DE-B1597)211998 (OCoLC)903573040 |
carrierType_str_mv |
cr |
title_part_txt |
American-Type Options ; Stochastic Approximation Methods, Volume 2 / |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter DG Plus DeG Package 2015 Part 1 Title is part of eBook package: De Gruyter DG Plus eBook-Package 2015 Title is part of eBook package: De Gruyter DG Studies in Mathematics eBook-Package Title is part of eBook package: De Gruyter EBOOK PACKAGE Complete Package 2014 Title is part of eBook package: De Gruyter EBOOK PACKAGE Mathematics, Physics 2014 |
is_hierarchy_title |
American-Type Options : Stochastic Approximation Methods. |
container_title |
Title is part of eBook package: De Gruyter DG Plus DeG Package 2015 Part 1 |
_version_ |
1806144342217195520 |
fullrecord |
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