American-type options. Stochastic approximation methods. Volume 2

DOI10.1515/9783110329841zbMath1380.91006OpenAlexW4245734399MaRDI QIDQ384935

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: https://doi.org/10.1515/9783110329841

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 ⋮ On the binomial approximation of the American put ⋮ 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

This page was built for publication: American-type options. Stochastic approximation methods. Volume 2