The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for comp… Mehr…
The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies. De Gruyter Mathematics General 9783110329681 DE,GB,US,ES,IT,FR,MX English Mathematics, De Gruyter<
The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for comp… Mehr…
The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence o The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence o Business & Industrial > Science & Laboratory, De Gruyter<
American-Type Options 2 ab 169.99 € als epub eBook: Stochastic Approximation Methods. Aus dem Bereich: eBooks, Fachthemen & Wissenschaft, Mathematik, Medien > Bücher nein eBook als epub e… Mehr…
American-Type Options 2 ab 169.99 € als epub eBook: Stochastic Approximation Methods. Aus dem Bereich: eBooks, Fachthemen & Wissenschaft, Mathematik, Medien > Bücher nein eBook als epub eBooks > Fachthemen & Wissenschaft > Mathematik, Gruyter Walter de GmbH<
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The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for comp… Mehr…
The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies. De Gruyter Mathematics General 9783110329681 DE,GB,US,ES,IT,FR,MX English Mathematics, De Gruyter<
The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for comp… Mehr…
The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence o The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence o Business & Industrial > Science & Laboratory, De Gruyter<
American-Type Options 2 - Stochastic Approximation Methods: ab 152.99 € eBooks > Fachthemen & Wissenschaft > Mathematik Gruyter Walter de GmbH, Gruyter Walter de GmbH
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EAN (ISBN-13): 9783110389906 Erscheinungsjahr: 2015 Herausgeber: Walter de Gruyter GmbH & Co.KG
Buch in der Datenbank seit 2015-10-18T16:59:05+02:00 (Berlin) Detailseite zuletzt geändert am 2023-02-21T11:54:50+01:00 (Berlin) ISBN/EAN: 9783110389906
ISBN - alternative Schreibweisen: 978-3-11-038990-6 Alternative Schreibweisen und verwandte Suchbegriffe: Autor des Buches: silvestrov Titel des Buches: all american, stochastic approximation, option, methods approximation, type
Daten vom Verlag:
Autor/in: Dmitrii S. Silvestrov Titel: Dmitrii S. Silvestrov: American-Type Options; De Gruyter Studies in Mathematics; Dmitrii S. Silvestrov: American-Type Options / American-Type Options - Stochastic Approximation Methods, Volume 2 Verlag: De Gruyter 559 Seiten Erscheinungsjahr: 2015-03-03 Berlin/Boston Sprache: Englisch 179,95 € (DE) 179,95 € (AT) Available 7 b/w tbl.
EA; E101; Nonbooks, PBS / Mathematik; Finanzbuchhaltung; Verstehen; BUS001010 BUSINESS & ECONOMICS / Accounting / Financial; BUS001040 BUSINESS & ECONOMICS / Accounting / Managerial; Finance & accounting; Banking; Probability & statistics; Mathematical modelling; Stochastics; American option; Optimal stopping; Convergence of rewards; Markov chain; Approximation algorithm; Stochastik; BB; EA
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