American-type options. Stochastic approximation methods. Volume 2

DOI10.1515/9783110329841MaRDI QIDQ384935zbMATH OpenOpenAlexFDO

Authors D. 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

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)

Recommendations

• American-type options. Stochastic approximation methods. Volume 1
• scientific article; zbMATH DE number 1475699
• 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

Cited in

(12)

• On the binomial approximation of the American put
• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• Skeleton approximations of optimal stopping strategies for American type options with continuous time
• American option pricing under two stochastic volatility processes
• Stochastic approximation methods for American type options
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• Convergence of option rewards for Markov type price processes
• American-type options. Stochastic approximation methods. Volume 1
• Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities
• 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

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