American-type options. Stochastic approximation methods. Volume 1

zbMath1282.91007MaRDI QIDQ384891

Dmitrii S. Silvestrov

Publication date: 29 November 2013

Published in: De Gruyter Studies in Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.degruyter.com/viewbooktoc/product/209685

zbMATH Keywords

Markov chainsAmerican optionsrandom walkautoregressive moving average modelsbinomial treesMarkov log-price processesmultivariate processreward algorithmsspace-skeleton approximationstrinomial treesunivariate process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Valuation and optimal strategies for American options under a Markovian regime-switching model ⋮ Asymptotic Expansions for Stationary Distributions of Perturbed Semi-Markov Processes ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities ⋮ Stochastic approximation methods for American type options

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