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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
American-Type Options: Stochastic Approximation Methods, Volume 2

American-Type Options: Stochastic Approximation Methods, Volume 2

Silvestrov, Dmitrii S.

Hardcover

Series: de Gruyter Studies in Mathematics, Book 57

General MathematicsProbability & Statistics

ISBN10: 3110329689
ISBN13: 9783110329681
Publisher: De Gruyter
Published: Dec 15 2014
Pages: 571
Weight: 2.43
Height: 1.25 Width: 6.69 Depth: 9.61
Language: English

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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