American-type options. Stochastic approximation methods. Volume 1
American optionsautoregressive moving average modelsbinomial treesMarkov chainsMarkov log-price processesmultivariate processrandom walkreward algorithmsspace-skeleton approximationstrinomial treesunivariate process
Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic approximation (62L20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
In this book, the author presents various stochastic approximation methods employed in modeling American-type options with general pay-off functions for discrete time Markov log-price processes. The pay-off functions may depend not only on the price, but also upon an additional stochastic index component with a general phase space.NEWLINENEWLINE The book is structured in ten chapters.NEWLINENEWLINE Chapter 1 introduces models of multivariate modulated Markov log-price processes and price processes. Various types of modulations are considered here. Some examples of such processes are presented, such as: the log-price processes represented by multivariate modulated random walks, the log-price processes represented by various autoregressive and autoregressive moving average type and the autoregressive and autoregressive moving average stochastic volatility models.NEWLINENEWLINE The second chapter presents the American-type options and introduces the basic objects connected with the American-type options for multivariate modulated Markov price and log-price processes. Among these objects we mention: the pay-off functions, reward and log-reward functions, optimal expected rewards, optimal stopping times etc. Basic optimization problems for American-type options are formulated. In the third chapter the author investigates the structure of backward recurrence relations for log-price processes represented by atomic Markov chains having the transition probabilities concentrated on finite sets. The chapter discusses in detail the univariate and multivariate binomial tree reward algorithms, trinomial tree reward algorithms, the random walk reward algorithms and the Markov chain reward algorithms. Chapter 4 deals with upper bounds for log-reward functions and optimal expected rewards for American-type functions. The models considered here have pay-off functions having not more than polynomial rate of growth in price arguments.NEWLINENEWLINE The next two chapters contain convergence results for rewards of American-type options with general perturbed pay-off functions for perturbed multivariate modulated Markov log-price processes or with bounded and unbounded characteristics. Minimal conditions of smoothness on the limiting pay-off functions and transition probabilities are imposed.NEWLINENEWLINE Chapter 7 contains general results about the so-called space-skeleton approximations for rewards in the case of general pay-off functions. The new results in this chapter are related to the convergence of space-skeleton approximations for rewards of American-type options for log-price processes represented by multivariate modulated random walks and of American-type options for for multivariate modulated Markov log-price processes with unbounded characteristics. In Chapter 8, the author presents results about the convergence of option rewards and space-skeleton approximations for multivariate modulated Markov Gaussian log-price processes with either bounded or unbounded drift and volatility coefficients.NEWLINENEWLINE The last two chapters of the book contain results about fitting the coefficients and convergence results for reward functions for univariate and multivariate binomial and trinomial approximations. The cases of homogeneity and inhomogeneity in space and time are considered.NEWLINENEWLINE The book ends with some bibliographical remarks and a comprehensive list of references.
- American-type options. Stochastic approximation methods. Volume 2
- Stochastic approximation methods for American type options
- Convergence of option rewards for Markov type price processes modulated by stochastic indices. II
- Convergence of option rewards for multivariate price processes
- Convergence of option rewards for Markov type price processes modulated by stochastic indices. I
- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Stochastic approximation methods for American type options
- Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
- Reselling of options and convergence of option rewards
- Convergence of option rewards for Markov type price processes
- American-type options. Stochastic approximation methods. Volume 2
- Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities
- Statistical distributions, European option, American option, and option bounds
- Convergence of option rewards for Markov type price processes modulated by stochastic indices. I
- Convergence of option rewards for Markov type price processes modulated by stochastic indices. II
- Valuation and optimal strategies for American options under a Markovian regime-switching model
This page was built for publication: American-type options. Stochastic approximation methods. Volume 1
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q384891)
