Dmitrii S. Silvestrov American-Type Options (Hardback)

Description: Further DetailsTitle: American-Type OptionsCondition: NewSubtitle: Stochastic Approximation Methods, Volume 1ISBN-10: 3110329670EAN: 9783110329674ISBN: 9783110329674Publisher: De GruyterFormat: HardbackRelease Date: 11/15/2013Description: 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.Language: EnglishCountry/Region of Manufacture: DEItem Height: 240mmItem Length: 170mmItem Weight: 998gAuthor: Dmitrii S. SilvestrovGenre: Science Nature & MathTopic: Society & Culture, Children's Learning & EducationBook Series: De Gruyter Studies in MathematicsRelease Year: 2013 Missing Information?Please contact us if any details are missing and where possible we will add the information to our listing.

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Book Title: American-Type Options

Title: American-Type Options

Subtitle: Stochastic Approximation Methods, Volume 1

ISBN-10: 3110329670

EAN: 9783110329674

ISBN: 9783110329674

Release Date: 11/15/2013

Release Year: 2013

Country/Region of Manufacture: DE

Item Height: 240mm

Genre: Science Nature & Math

Topic: Children's Learning & Education

Number of Pages: 519 Pages

Publication Name: American-Type Options : Stochastic Approximation Methods, Volume 1

Language: English

Publisher: DE Gruyter Gmbh, Walter

Publication Year: 2013

Subject: Banks & Banking, Probability & Statistics / Stochastic Processes, Investments & Securities / Options, Applied, Business Mathematics

Type: Textbook

Item Weight: 35.2 Oz

Item Length: 9.4 in

Subject Area: Mathematics, Business & Economics

Author: Dmitrii S. Silvestrov

Series: De Gruyter Studies in Mathematics Ser.

Item Width: 6.7 in

Format: Hardcover