American-type options. Stochastic approximation methods. Volume 1

MaRDI QIDQ384891zbMATH OpenFDO

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

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)

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

Cited in

(11)

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

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