American-type options. Vol. 1, Stochastic approximation methods

American-type options. Vol. 1, Stochastic approximation methods / Dmitrii S. Silverstrov.

This book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. It is the first volume of the comprehensive two volumes monograph.

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Bibliographic Details
Main Author: Silʹvestrov, D. S. (Dmitriĭ Sergeevich)
Format: eBook
Language:English
Published: Berlin ; Boston : De Gruyter, ©2014.
Series:De Gruyter studies in mathematics ; 56.
Subjects:
Options (Finance) > Mathematical models.
Stochastic approximation.
Markov processes.
Markov processes
Options (Finance) > Mathematical models
Stochastic approximation
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