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
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| 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] | |
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| 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 | |
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Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-4-EBU-ocn903573040 |
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| _version_ | 1804748451724918784 |
| 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-EBU |
| 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 |
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| 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 |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-16T15:04:05Z |
| institution | BVB |
| isbn | 9783110329841 3110329840 |
| issn | 0179-0986 |
| language | English |
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| 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-EBU FWS_PDA_EBU 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 |