Stochastic approximation methods for American type options
American type optionbinomial approximationcompound Gaussian random walkconvergence of rewardsGaussian random walkgeometric random walkMarkov log-price processrandom pay-offrate of convergencereward functionskeleton approximationtrinomial approximation
Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50) Computational methods in Markov chains (60J22) Optimal stopping in statistics (62L15) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
- American-type options. Stochastic approximation methods. Volume 1
- American-type options. Stochastic approximation methods. Volume 2
- An analysis of a least squares regression method for American option pricing
- Convergence of option rewards for multivariate price processes
- Convergence of option rewards for Markov type price processes
- A closed-form solution to American options under general diffusion processes
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
- A second-order tridiagonal method for American options under jump-diffusion models
- A survey on American options: old approaches and new trends
- A tree-based method to price American options in the Heston model
- American-type options. Stochastic approximation methods. Volume 1
- An Introduction to Financial Option Valuation
- Binomial models for option valuation - examining and improving convergence
- Computational Methods for Option Pricing
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
- Convergence of the Critical Price In the Approximation of American Options
- Convergence property of an interior penalty approach to pricing American option
- Error estimates for the binomial approximation of American put options
- Functional convergence of Snell envelopes: Applications to American options approximations
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 3725517 (Why is no real title available?)
- scientific article; zbMATH DE number 3369559 (Why is no real title available?)
- New insights on testing the efficiency of methods of pricing and hedging American options
- Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB
- On the convergence from discrete to continuous time in an optimal stopping problem.
- On the optimal stopping problem for one-dimensional diffusions.
- On the rate of convergence of the binomial tree scheme for American options
- Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries
- Option pricing: A simplified approach
- PDE and martingale methods in option pricing.
- Policy iteration for american options: overview
- Pricing and hedging american options analytically: a perturbation method
- Pricing the American put option: A detailed convergence analysis for binomial models
- Weak convergence of tree methods to price options on defaultable assets
This page was built for publication: Stochastic approximation methods for American type options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2807793)
