American-type options. Stochastic approximation methods. Volume 2

DOI10.1515/9783110329841zbMATH Open1380.91006OpenAlexW4245734399MaRDI QIDQ384935FDOQ384935

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: https://doi.org/10.1515/9783110329841

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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 (12)

• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• Skeleton approximations of optimal stopping strategies for American type options with continuous time
• Valuation and optimal strategies for American options under a Markovian regime-switching model
• American option pricing under two stochastic volatility 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
• 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
• Convergence of option rewards for Markov type price processes
• On the binomial approximation of the American put
• American-type options. Stochastic approximation methods. Volume 1

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