Stochastic approximation methods for American type options (Q2807793)
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scientific article; zbMATH DE number 6584984
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Stochastic approximation methods for American type options |
scientific article; zbMATH DE number 6584984 |
Statements
Stochastic approximation methods for American type options (English)
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25 May 2016
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American type option
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binomial approximation
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compound Gaussian random walk
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convergence of rewards
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Gaussian random walk
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geometric random walk
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Markov log-price process
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random pay-off
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rate of convergence
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reward function
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skeleton approximation
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trinomial approximation
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0.9170985221862792
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0.9149214625358582
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0.9012487530708312
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0.8109215497970581
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0.7972245216369629
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