American-Type Options: Stochastic Approximation Methods, Volume 2

ISBN-13: 9783110329681 / Angielski / Twarda / 2014 / 571 str.

Dmitrii S. Silvestrov

Opis

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.

O autorze

Dmitrii Silvestrov, Stockholm University, Sweden.