Stochastic approximation methods for American type options
DOI10.1080/03610926.2014.915046zbMath1354.91170OpenAlexW385126469MaRDI QIDQ2807793
Dmitrii S. Silvestrov, Yan-Xiong Li
Publication date: 25 May 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.915046
rate of convergencebinomial approximationGaussian random walkreward functionskeleton approximationAmerican type optiongeometric random walkcompound Gaussian random walkconvergence of rewardsMarkov log-price processrandom pay-offtrinomial approximation
Computational methods in Markov chains (60J22) Numerical methods (including Monte Carlo methods) (91G60) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)
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