Stochastic approximation methods for American type options
DOI10.1080/03610926.2014.915046zbMATH Open1354.91170OpenAlexW385126469MaRDI QIDQ2807793FDOQ2807793
Authors: D. S. Silvestrov, Yan-Xiong Li 
Publication date: 25 May 2016
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.915046
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- American-type options. Stochastic approximation methods. Volume 1
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rate of convergencebinomial approximationGaussian random walkreward functionskeleton approximationAmerican type optiongeometric random walkcompound Gaussian random walkconvergence of rewardsMarkov log-price processrandom pay-offtrinomial approximation
Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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