American-type options.: Volume 2, Stochastic approximation methods /
The second volume of this systematical presentation of stochastic approximation methods for models of American-type options presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressi...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin :
Walter de Gruyter GmbH,
[2015]
|
| Schriftenreihe: | De Gruyter studies in mathematics ;
57. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The second volume of this systematical presentation of stochastic approximation methods for models of American-type options 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. |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 9783110329841 3110329840 |
| ISSN: | 0179-0986 |
Internformat
MARC
| LEADER | 00000cam a2200000 i 4500 | ||
|---|---|---|---|
| 001 | ZDB-4-EBA-ocn903573040 | ||
| 003 | OCoLC | ||
| 005 | 20240705115654.0 | ||
| 006 | m o d | ||
| 007 | cr cnu---unuuu | ||
| 008 | 150209s2015 gw ob 001 0 eng d | ||
| 040 | |a CN3GA |b eng |e pn |c CN3GA |d OCLCO |d E7B |d YDXCP |d N$T |d OCLCO |d DEBSZ |d OCLCO |d IDEBK |d UMC |d OCLCO |d OCLCF |d OCLCO |d COO |d YDX |d OCLCQ |d OCLCO |d AZK |d UIU |d AGLDB |d MOR |d CCO |d PIFAG |d ZCU |d OCLCQ |d MERUC |d OCLCQ |d DEGRU |d U3W |d STF |d VNS |d VTS |d ICG |d UKMGB |d VT2 |d OCLCQ |d WYU |d TKN |d LEAUB |d DKC |d OCLCQ |d M8D |d OCLCQ |d OCLCO |d OCLCQ |d OCLCO |d SFB |d OCLCL |d SXB |d OCLCQ | ||
| 016 | 7 | |a 017158420 |2 Uk | |
| 019 | |a 900416023 |a 958354277 |a 961537675 |a 962689266 |a 1050541386 | ||
| 020 | |a 9783110329841 |q (electronic bk.) | ||
| 020 | |a 3110329840 |q (electronic bk.) | ||
| 020 | |z 9783110329681 | ||
| 020 | |z 3110329689 | ||
| 020 | |z 9783110389906 | ||
| 020 | |z 3110389908 | ||
| 024 | 7 | |a 10.1515/9783110329841 |2 doi | |
| 035 | |a (OCoLC)903573040 |z (OCoLC)900416023 |z (OCoLC)958354277 |z (OCoLC)961537675 |z (OCoLC)962689266 |z (OCoLC)1050541386 | ||
| 050 | 4 | |a HG6024.A3 |b S55 2015 | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 7 | |a 332.64/53 |2 23 | |
| 049 | |a MAIN | ||
| 100 | 1 | |a Silʹvestrov, D. S. |q (Dmitriĭ Sergeevich), |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJdrMrc6RKJV7VyYDWvmBP |0 http://id.loc.gov/authorities/names/n82016664 | |
| 245 | 1 | 0 | |a American-type options. |n Volume 2, |p Stochastic approximation methods / |c Dmitrii S. Silvestrov. |
| 264 | 1 | |a Berlin : |b Walter de Gruyter GmbH, |c [2015] | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a De Gruyter studies in mathematics ; |v volume 57 | |
| 588 | 0 | |a Online resource; title from digital title page (viewed on February 9, 2015). | |
| 505 | 0 | 0 | |t Frontmatter -- |t Preface -- |t Contents -- |t 1 Reward approximations for autoregressive log-price processes (LPP) -- |t 2 Reward approximations for autoregressive stochastic volatility LPP -- |t 3 American-type options for continuous time Markov LPP -- |t 4 Upper bounds for option rewards for Markov LPP -- |t 5 Time-skeleton reward approximations for Markov LPP -- |t 6 Time-space-skeleton reward approximations for Markov LPP -- |t 7 Convergence of option rewards for continuous time Markov LPP -- |t 8 Convergence of option rewards for diffusion LPP -- |t 9 European, knockout, reselling and random pay-off options -- |t 10 Results of experimental studies -- |t Bibliographical Remarks -- |t Bibliography -- |t Index -- |t De Gruyter Studies in Mathematics. |
| 520 | |a The second volume of this systematical presentation of stochastic approximation methods for models of American-type options 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. | ||
| 546 | |a In English. | ||
| 504 | |a Includes bibliographical references and index. | ||
| 650 | 0 | |a Options (Finance) |x Mathematical models. | |
| 650 | 0 | |a Stochastic approximation. |0 http://id.loc.gov/authorities/subjects/sh85128176 | |
| 650 | 0 | |a Markov processes. |0 http://id.loc.gov/authorities/subjects/sh85081369 | |
| 650 | 0 | |a Business mathematics. |0 http://id.loc.gov/authorities/subjects/sh85018308 | |
| 650 | 2 | |a Markov Chains |0 https://id.nlm.nih.gov/mesh/D008390 | |
| 650 | 6 | |a Options (Finances) |x Modèles mathématiques. | |
| 650 | 6 | |a Approximation stochastique. | |
| 650 | 6 | |a Processus de Markov. | |
| 650 | 6 | |a Mathématiques financières. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Business mathematics |2 fast | |
| 650 | 7 | |a Markov processes |2 fast | |
| 650 | 7 | |a Options (Finance) |x Mathematical models |2 fast | |
| 650 | 7 | |a Stochastic approximation |2 fast | |
| 653 | |a American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm. | ||
| 758 | |i has work: |a American-type options (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGG8j7qxRcBfVHW3V9Gcrm |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Silvestrov, Dmitrii S. |t American-type options. Volume 2, Stochastic approximation methods. |d Berlin, Germany : De Gruyter, ©2015 |h xi, 558 pages |k De Gruyter studies in mathematics ; Volume 57 |x 0179-0986 |z 9783110329681 |
| 830 | 0 | |a De Gruyter studies in mathematics ; |v 57. |0 http://id.loc.gov/authorities/names/n83742913 | |
| 856 | 1 | |l FWS01 |p ZDB-4-EBA |q FWS_PDA_EBA |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643 |3 Volltext | |
| 856 | 1 | |l CBO01 |p ZDB-4-EBA |q FWS_PDA_EBA |u https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643 |3 Volltext | |
| 936 | |a BATCHLOAD | ||
| 938 | |a De Gruyter |b DEGR |n 9783110329841 | ||
| 938 | |a ebrary |b EBRY |n ebr11015800 | ||
| 938 | |a EBSCOhost |b EBSC |n 948643 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n cis28108463 | ||
| 938 | |a YBP Library Services |b YANK |n 10818879 | ||
| 938 | |a YBP Library Services |b YANK |n 13157075 | ||
| 994 | |a 92 |b GEBAY | ||
| 912 | |a ZDB-4-EBA | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBA-ocn903573040 |
|---|---|
| _version_ | 1813903676723429376 |
| adam_text | |
| any_adam_object | |
| author | Silʹvestrov, D. S. (Dmitriĭ Sergeevich) |
| author_GND | http://id.loc.gov/authorities/names/n82016664 |
| author_facet | Silʹvestrov, D. S. (Dmitriĭ Sergeevich) |
| author_role | aut |
| author_sort | Silʹvestrov, D. S. |
| author_variant | d s s ds dss |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 S55 2015 |
| callnumber-search | HG6024.A3 S55 2015 |
| callnumber-sort | HG 46024 A3 S55 42015 |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBA |
| contents | Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics. |
| ctrlnum | (OCoLC)903573040 |
| dewey-full | 332.64/53 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/53 |
| dewey-search | 332.64/53 |
| dewey-sort | 3332.64 253 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>04983cam a2200757 i 4500</leader><controlfield tag="001">ZDB-4-EBA-ocn903573040</controlfield><controlfield tag="003">OCoLC</controlfield><controlfield tag="005">20240705115654.0</controlfield><controlfield tag="006">m o d </controlfield><controlfield tag="007">cr cnu---unuuu</controlfield><controlfield tag="008">150209s2015 gw ob 001 0 eng d</controlfield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">CN3GA</subfield><subfield code="b">eng</subfield><subfield code="e">pn</subfield><subfield code="c">CN3GA</subfield><subfield code="d">OCLCO</subfield><subfield code="d">E7B</subfield><subfield code="d">YDXCP</subfield><subfield code="d">N$T</subfield><subfield code="d">OCLCO</subfield><subfield code="d">DEBSZ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">IDEBK</subfield><subfield code="d">UMC</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCF</subfield><subfield code="d">OCLCO</subfield><subfield code="d">COO</subfield><subfield code="d">YDX</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">AZK</subfield><subfield code="d">UIU</subfield><subfield code="d">AGLDB</subfield><subfield code="d">MOR</subfield><subfield code="d">CCO</subfield><subfield code="d">PIFAG</subfield><subfield code="d">ZCU</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">MERUC</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">DEGRU</subfield><subfield code="d">U3W</subfield><subfield code="d">STF</subfield><subfield code="d">VNS</subfield><subfield code="d">VTS</subfield><subfield code="d">ICG</subfield><subfield code="d">UKMGB</subfield><subfield code="d">VT2</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">WYU</subfield><subfield code="d">TKN</subfield><subfield code="d">LEAUB</subfield><subfield code="d">DKC</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">M8D</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">OCLCQ</subfield><subfield code="d">OCLCO</subfield><subfield code="d">SFB</subfield><subfield code="d">OCLCL</subfield><subfield code="d">SXB</subfield><subfield code="d">OCLCQ</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">017158420</subfield><subfield code="2">Uk</subfield></datafield><datafield tag="019" ind1=" " ind2=" "><subfield code="a">900416023</subfield><subfield code="a">958354277</subfield><subfield code="a">961537675</subfield><subfield code="a">962689266</subfield><subfield code="a">1050541386</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783110329841</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3110329840</subfield><subfield code="q">(electronic bk.)</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9783110329681</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">3110329689</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">9783110389906</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="z">3110389908</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1515/9783110329841</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)903573040</subfield><subfield code="z">(OCoLC)900416023</subfield><subfield code="z">(OCoLC)958354277</subfield><subfield code="z">(OCoLC)961537675</subfield><subfield code="z">(OCoLC)962689266</subfield><subfield code="z">(OCoLC)1050541386</subfield></datafield><datafield tag="050" ind1=" " ind2="4"><subfield code="a">HG6024.A3</subfield><subfield code="b">S55 2015</subfield></datafield><datafield tag="072" ind1=" " ind2="7"><subfield code="a">BUS</subfield><subfield code="x">027000</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="082" ind1="7" ind2=" "><subfield code="a">332.64/53</subfield><subfield code="2">23</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">MAIN</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Silʹvestrov, D. S.</subfield><subfield code="q">(Dmitriĭ Sergeevich),</subfield><subfield code="e">author.</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PBJdrMrc6RKJV7VyYDWvmBP</subfield><subfield code="0">http://id.loc.gov/authorities/names/n82016664</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">American-type options.</subfield><subfield code="n">Volume 2,</subfield><subfield code="p">Stochastic approximation methods /</subfield><subfield code="c">Dmitrii S. Silvestrov.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin :</subfield><subfield code="b">Walter de Gruyter GmbH,</subfield><subfield code="c">[2015]</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">computer</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">online resource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">De Gruyter studies in mathematics ;</subfield><subfield code="v">volume 57</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Online resource; title from digital title page (viewed on February 9, 2015).</subfield></datafield><datafield tag="505" ind1="0" ind2="0"><subfield code="t">Frontmatter --</subfield><subfield code="t">Preface --</subfield><subfield code="t">Contents --</subfield><subfield code="t">1 Reward approximations for autoregressive log-price processes (LPP) --</subfield><subfield code="t">2 Reward approximations for autoregressive stochastic volatility LPP --</subfield><subfield code="t">3 American-type options for continuous time Markov LPP --</subfield><subfield code="t">4 Upper bounds for option rewards for Markov LPP --</subfield><subfield code="t">5 Time-skeleton reward approximations for Markov LPP --</subfield><subfield code="t">6 Time-space-skeleton reward approximations for Markov LPP --</subfield><subfield code="t">7 Convergence of option rewards for continuous time Markov LPP --</subfield><subfield code="t">8 Convergence of option rewards for diffusion LPP --</subfield><subfield code="t">9 European, knockout, reselling and random pay-off options --</subfield><subfield code="t">10 Results of experimental studies --</subfield><subfield code="t">Bibliographical Remarks --</subfield><subfield code="t">Bibliography --</subfield><subfield code="t">Index --</subfield><subfield code="t">De Gruyter Studies in Mathematics.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">The second volume of this systematical presentation of stochastic approximation methods for models of American-type options 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.</subfield></datafield><datafield tag="546" ind1=" " ind2=" "><subfield code="a">In English.</subfield></datafield><datafield tag="504" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Options (Finance)</subfield><subfield code="x">Mathematical models.</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Stochastic approximation.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85128176</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Markov processes.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85081369</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Business mathematics.</subfield><subfield code="0">http://id.loc.gov/authorities/subjects/sh85018308</subfield></datafield><datafield tag="650" ind1=" " ind2="2"><subfield code="a">Markov Chains</subfield><subfield code="0">https://id.nlm.nih.gov/mesh/D008390</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Options (Finances)</subfield><subfield code="x">Modèles mathématiques.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Approximation stochastique.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Processus de Markov.</subfield></datafield><datafield tag="650" ind1=" " ind2="6"><subfield code="a">Mathématiques financières.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS</subfield><subfield code="x">Finance.</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Business mathematics</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Markov processes</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Options (Finance)</subfield><subfield code="x">Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Stochastic approximation</subfield><subfield code="2">fast</subfield></datafield><datafield tag="653" ind1=" " ind2=" "><subfield code="a">American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm.</subfield></datafield><datafield tag="758" ind1=" " ind2=" "><subfield code="i">has work:</subfield><subfield code="a">American-type options (Text)</subfield><subfield code="1">https://id.oclc.org/worldcat/entity/E39PCGG8j7qxRcBfVHW3V9Gcrm</subfield><subfield code="4">https://id.oclc.org/worldcat/ontology/hasWork</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Print version:</subfield><subfield code="a">Silvestrov, Dmitrii S.</subfield><subfield code="t">American-type options. Volume 2, Stochastic approximation methods.</subfield><subfield code="d">Berlin, Germany : De Gruyter, ©2015</subfield><subfield code="h">xi, 558 pages</subfield><subfield code="k">De Gruyter studies in mathematics ; Volume 57</subfield><subfield code="x">0179-0986</subfield><subfield code="z">9783110329681</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">De Gruyter studies in mathematics ;</subfield><subfield code="v">57.</subfield><subfield code="0">http://id.loc.gov/authorities/names/n83742913</subfield></datafield><datafield tag="856" ind1="1" ind2=" "><subfield code="l">FWS01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="856" ind1="1" ind2=" "><subfield code="l">CBO01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FWS_PDA_EBA</subfield><subfield code="u">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="936" ind1=" " ind2=" "><subfield code="a">BATCHLOAD</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">De Gruyter</subfield><subfield code="b">DEGR</subfield><subfield code="n">9783110329841</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ebrary</subfield><subfield code="b">EBRY</subfield><subfield code="n">ebr11015800</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">EBSCOhost</subfield><subfield code="b">EBSC</subfield><subfield code="n">948643</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">ProQuest MyiLibrary Digital eBook Collection</subfield><subfield code="b">IDEB</subfield><subfield code="n">cis28108463</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">10818879</subfield></datafield><datafield tag="938" ind1=" " ind2=" "><subfield code="a">YBP Library Services</subfield><subfield code="b">YANK</subfield><subfield code="n">13157075</subfield></datafield><datafield tag="994" ind1=" " ind2=" "><subfield code="a">92</subfield><subfield code="b">GEBAY</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield></record></collection> |
| id | ZDB-4-EBA-ocn903573040 |
| illustrated | Not Illustrated |
| indexdate | 2024-10-25T16:22:28Z |
| institution | BVB |
| isbn | 9783110329841 3110329840 |
| issn | 0179-0986 |
| language | English |
| oclc_num | 903573040 |
| open_access_boolean | |
| owner | MAIN |
| owner_facet | MAIN |
| physical | 1 online resource |
| psigel | ZDB-4-EBA |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Walter de Gruyter GmbH, |
| record_format | marc |
| series | De Gruyter studies in mathematics ; |
| series2 | De Gruyter studies in mathematics ; |
| spelling | Silʹvestrov, D. S. (Dmitriĭ Sergeevich), author. https://id.oclc.org/worldcat/entity/E39PBJdrMrc6RKJV7VyYDWvmBP http://id.loc.gov/authorities/names/n82016664 American-type options. Volume 2, Stochastic approximation methods / Dmitrii S. Silvestrov. Berlin : Walter de Gruyter GmbH, [2015] 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier De Gruyter studies in mathematics ; volume 57 Online resource; title from digital title page (viewed on February 9, 2015). Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics. The second volume of this systematical presentation of stochastic approximation methods for models of American-type options 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. In English. Includes bibliographical references and index. Options (Finance) Mathematical models. Stochastic approximation. http://id.loc.gov/authorities/subjects/sh85128176 Markov processes. http://id.loc.gov/authorities/subjects/sh85081369 Business mathematics. http://id.loc.gov/authorities/subjects/sh85018308 Markov Chains https://id.nlm.nih.gov/mesh/D008390 Options (Finances) Modèles mathématiques. Approximation stochastique. Processus de Markov. Mathématiques financières. BUSINESS & ECONOMICS Finance. bisacsh Business mathematics fast Markov processes fast Options (Finance) Mathematical models fast Stochastic approximation fast American option, Optimal stopping, Convergence of rewards, Markov chain, Approximation algorithm. has work: American-type options (Text) https://id.oclc.org/worldcat/entity/E39PCGG8j7qxRcBfVHW3V9Gcrm https://id.oclc.org/worldcat/ontology/hasWork Print version: Silvestrov, Dmitrii S. American-type options. Volume 2, Stochastic approximation methods. Berlin, Germany : De Gruyter, ©2015 xi, 558 pages De Gruyter studies in mathematics ; Volume 57 0179-0986 9783110329681 De Gruyter studies in mathematics ; 57. http://id.loc.gov/authorities/names/n83742913 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643 Volltext CBO01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643 Volltext |
| spellingShingle | Silʹvestrov, D. S. (Dmitriĭ Sergeevich) American-type options. De Gruyter studies in mathematics ; Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics. Options (Finance) Mathematical models. Stochastic approximation. http://id.loc.gov/authorities/subjects/sh85128176 Markov processes. http://id.loc.gov/authorities/subjects/sh85081369 Business mathematics. http://id.loc.gov/authorities/subjects/sh85018308 Markov Chains https://id.nlm.nih.gov/mesh/D008390 Options (Finances) Modèles mathématiques. Approximation stochastique. Processus de Markov. Mathématiques financières. BUSINESS & ECONOMICS Finance. bisacsh Business mathematics fast Markov processes fast Options (Finance) Mathematical models fast Stochastic approximation fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85128176 http://id.loc.gov/authorities/subjects/sh85081369 http://id.loc.gov/authorities/subjects/sh85018308 https://id.nlm.nih.gov/mesh/D008390 |
| title | American-type options. |
| title_alt | Frontmatter -- Preface -- Contents -- 1 Reward approximations for autoregressive log-price processes (LPP) -- 2 Reward approximations for autoregressive stochastic volatility LPP -- 3 American-type options for continuous time Markov LPP -- 4 Upper bounds for option rewards for Markov LPP -- 5 Time-skeleton reward approximations for Markov LPP -- 6 Time-space-skeleton reward approximations for Markov LPP -- 7 Convergence of option rewards for continuous time Markov LPP -- 8 Convergence of option rewards for diffusion LPP -- 9 European, knockout, reselling and random pay-off options -- 10 Results of experimental studies -- Bibliographical Remarks -- Bibliography -- Index -- De Gruyter Studies in Mathematics. |
| title_auth | American-type options. |
| title_exact_search | American-type options. |
| title_full | American-type options. Volume 2, Stochastic approximation methods / Dmitrii S. Silvestrov. |
| title_fullStr | American-type options. Volume 2, Stochastic approximation methods / Dmitrii S. Silvestrov. |
| title_full_unstemmed | American-type options. Volume 2, Stochastic approximation methods / Dmitrii S. Silvestrov. |
| title_short | American-type options. |
| title_sort | american type options stochastic approximation methods |
| topic | Options (Finance) Mathematical models. Stochastic approximation. http://id.loc.gov/authorities/subjects/sh85128176 Markov processes. http://id.loc.gov/authorities/subjects/sh85081369 Business mathematics. http://id.loc.gov/authorities/subjects/sh85018308 Markov Chains https://id.nlm.nih.gov/mesh/D008390 Options (Finances) Modèles mathématiques. Approximation stochastique. Processus de Markov. Mathématiques financières. BUSINESS & ECONOMICS Finance. bisacsh Business mathematics fast Markov processes fast Options (Finance) Mathematical models fast Stochastic approximation fast |
| topic_facet | Options (Finance) Mathematical models. Stochastic approximation. Markov processes. Business mathematics. Markov Chains Options (Finances) Modèles mathématiques. Approximation stochastique. Processus de Markov. Mathématiques financières. BUSINESS & ECONOMICS Finance. Business mathematics Markov processes Options (Finance) Mathematical models Stochastic approximation |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=948643 |
| work_keys_str_mv | AT silʹvestrovds americantypeoptionsvolume2 |