A stochastic approximation algorithm for American lookback put options

DOI10.1080/07362994.2010.503473MaRDI QIDQ3168708zbMATHOpenAlexFDO

Authors Zhenhua Zhang, G. Yin, Zhian Liang

Publication date 19 April 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2010.503473

zbMATH Keywords

stochastic approximationweak convergencelookback optionregime-switching diffusionmollifier

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Continuous-time Markov processes on general state spaces (60J25) Asymptotic expansions of solutions to ordinary differential equations (34E05)

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Cites work

• scientific article; zbMATH DE number 3878095 (Why is no real title available?)
• scientific article; zbMATH DE number 1972910 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Closed-Form Solutions for Perpetual American Put Options with Regime Switching
• Computational methods for pricing American put options
• Hybrid switching diffusions. Properties and applications
• Option pricing: A simplified approach
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
• Stock trading: an optimal selling rule
• The simplest normal forms associated with a triple zero eigenvalue of indices one and two.
• Uniform asymptotic expansions for pricing European options

Cited in

(6)

• Primal-Dual Active Set Method for American Lookback Put Option Pricing
• A stochastic approximation algorithm for option pricing model calibration with a switchable market
• Lookback option pricing for regime-switching jump diffusion models
• Stochastic optimization algorithms for pricing American put options under regime-switching models
• Computational methods for pricing American put options
• scientific article; zbMATH DE number 5172395 (Why is no real title available?)

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