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

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

Recommendations

• American-type options. Stochastic approximation methods. Volume 1
• Publication:4489967
• 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)

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

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q384935)