American-type options : stochastic approximation methods

• Main Author: Silvestrov, Dmitrii S
• Format: eBook Book
• Language: English
• Published: Berlin W. de Gruyter 2014; De Gruyter
• Edition: 1st edition.
• Series: De Gruyter studies in mathematics
• Subjects: Business mathematics; Markov processes; Options (Finance) > Mathematical models; Stochastic approximation

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 f...