Stochastic approximation methods for American type options (Q2807793)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic approximation methods for American type options |
scientific article |
Statements
Stochastic approximation methods for American type options (English)
0 references
25 May 2016
0 references
American type option
0 references
binomial approximation
0 references
compound Gaussian random walk
0 references
convergence of rewards
0 references
Gaussian random walk
0 references
geometric random walk
0 references
Markov log-price process
0 references
random pay-off
0 references
rate of convergence
0 references
reward function
0 references
skeleton approximation
0 references
trinomial approximation
0 references
0 references
0 references
0 references
