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American-type options: stochastic approximation methods. 2
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: L-8700-2014
2014 (English)Book (Refereed)
Abstract [en]

The book gives a systematical presentation of stochastic approximation methods for models of American type options with general pay-off functions for continuous time Markov log-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 for option rewards are applied to a variety of models of multivariate modulated Markov log-price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The book also presents results of experimental studies and contains an extended bibliography of works in the area. It is the first volume of the comprehensive two volumes monograph. It is the second volume of the comprehensive  two-volume monograph. The first volume presents stochastic approximation methods for American-type options with general pay-off functions for discrete time modulated Markov log-price processes. 

Place, publisher, year, edition, pages
Göttingen: Walter de Gruyter, 2014. , 558 p.
Series
, Studies in mathematics, ISSN 0179-0986 ; 57
Keyword [en]
American option, Stochastic Approximation, Modulated Markov price process
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-127843ISBN: 978-3-11-032968-1OAI: oai:DiVA.org:su-127843DiVA: diva2:911570
Funder
Riksbankens Jubileumsfond
Available from: 2016-03-13 Created: 2016-03-13 Last updated: 2016-04-04Bibliographically approved

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Silvestrov, Dmitrii S.
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ReferencesLink to record
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