American-type options. Stochastic approximation methods. Volume 1

zbMATH Open1282.91007MaRDI QIDQ384891FDOQ384891

Authors: D. S. Silvestrov 

Publication date: 29 November 2013

Published in: De Gruyter Studies in Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.degruyter.com/viewbooktoc/product/209685

Recommendations

• American-type options. Stochastic approximation methods. Volume 2
• Stochastic approximation methods for American type options
• Convergence of option rewards for Markov type price processes modulated by stochastic indices. II
• Convergence of option rewards for multivariate price processes
• Convergence of option rewards for Markov type price processes modulated by stochastic indices. I

zbMATH Keywords

random walkMarkov chainsAmerican optionsautoregressive moving average modelsbinomial treesMarkov log-price processesmultivariate processreward algorithmsspace-skeleton approximationstrinomial treesunivariate process

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Stochastic approximation (62L20) Sums of independent random variables; random walks (60G50) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70)

Cited In (11)

• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• Valuation and optimal strategies for American options under a Markovian regime-switching model
• American-type options. Stochastic approximation methods. Volume 2
• Statistical distributions, European option, American option, and option bounds
• Convergence of option rewards for Markov type price processes modulated by stochastic indices. I
• Convergence of option rewards for Markov type price processes modulated by stochastic indices. II
• Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities
• Asymptotic expansions for stationary distributions of perturbed semi-Markov processes
• Stochastic approximation methods for American type options
• Reselling of options and convergence of option rewards
• Convergence of option rewards for Markov type price processes

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