A Stochastic Approximation Algorithm for American Lookback Put Options
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Publication:3168708
DOI10.1080/07362994.2010.503473zbMath1216.93113OpenAlexW2080785574MaRDI QIDQ3168708
Zhen-hua Zhang, G. George Yin, Zhi-An Liang
Publication date: 19 April 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2010.503473
Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Asymptotic expansions of solutions to ordinary differential equations (34E05) Portfolio theory (91G10)
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Cites Work
- Uniform asymptotic expansions for pricing European options
- Computational methods for pricing American put options
- Hybrid switching diffusions. Properties and applications
- The simplest normal forms associated with a triple zero eigenvalue of indices one and two.
- Stock Trading: An Optimal Selling Rule
- AMERICAN OPTIONS WITH REGIME SWITCHING
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Option pricing: A simplified approach
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