American-Type Options Image close
American-Type Options on Hardback by Dmitrii S Silvestrov
American-Type Options on Hardback by Dmitrii S Silvestrov
Show Hide Adult Content
American-Type Options close

Non-Fiction Books:

Home  
Books  
Non-Fiction  
Maths & Science  
Mathematics

American-Type Options

Stochastic Approximation Methods, Volume 2
Click to share your rating 0 ratings (0.0/5.0 average) Thanks for your vote!

By:

Format:

Hardback
$728.00
Available from supplier

The item is brand new and in-stock with one of our preferred suppliers. The item will ship from a Mighty Ape warehouse within the timeframe shown.

Usually ships in 3-4 weeks
0 in Trolley
Free Delivery with Primate
Join Now

Free 14 day free trial, cancel anytime.

Buy Now, Pay Later with:

4 payments of $182.00 with Afterpay Learn more

6 weekly interest-free payments of $121.33 with Laybuy Learn more

Availability

Delivering to:

Estimated arrival:

  • Around 12-24 June using International Courier

Explore more de Gruyter Studies in Mathematics

See all products in this series

Commutative Algebra Methods for Coding Theory on Hardback by Ştefan Ovidiu I Tohăneanu
$392.00
Commutative Algebra Methods for Coding Theory
by Ştefan Ovidiu I Tohăneanu ~ Hardback
Pre-order - out 17 Jun 2024
Pointwise Variable Anisotropic Function Spaces on ℝⁿ on Hardback by Shai Dekel
$469.00
Pointwise Variable Anisotropic Function Spaces on ℝⁿ
by Shai Dekel ~ Hardback
Available - Usually ships in 3-4 weeks
Abelian Groups on Hardback by Carol Jacoby
$458.00
Abelian Groups
by Carol Jacoby ~ Hardback
Available - Usually ships in 3-4 weeks
Harmonic Analysis of Probability Measures on Hypergroups on Hardback by Walter R. Bloom
$833.00
Harmonic Analysis of Probability Measures on Hypergroups
by Walter R. Bloom ~ Hardback
Available - Usually ships in 3-4 weeks
The Reidemeister Torsion of 3-Manifolds on Hardback by Liviu I Nicolaescu
$783.00
The Reidemeister Torsion of 3-Manifolds
by Liviu I Nicolaescu ~ Hardback
Available - Usually ships in 3-4 weeks
Maximal Subellipticity on Hardback by Brian Street
$377.00
Maximal Subellipticity
by Brian Street ~ Hardback
Available - Usually ships in 3-4 weeks
Recent Developments in Sturm-Liouville Theory on Hardback by Anton Zettl
$433.00
Recent Developments in Sturm-Liouville Theory
by Anton Zettl ~ Hardback
Available - Usually ships in 3-4 weeks
Univalent Functions on Hardback by Derek K Thomas
$394.00
Univalent Functions
by Derek K Thomas ~ Hardback
Available - Usually ships in 3-4 weeks
Time-Frequency Analysis of Operators on Hardback by Elena Cordero
$516.00
Time-Frequency Analysis of Operators
by Elena Cordero ~ Hardback
Available - Usually ships in 3-4 weeks
Formal Analysis on Hardback by Xiao-Xiong Gan
$441.00
Formal Analysis
by Xiao-Xiong Gan ~ Hardback
Available - Usually ships in 3-4 weeks
Fundamentals of Set and Number Theory on Hardback by Valeriy K. Zakharov
$505.00
Fundamentals of Set and Number Theory
by Valeriy K. Zakharov ~ Hardback
Available - Usually ships in 3-4 weeks
Elliptic Curves on Hardback by Susanne Schmitt
$679.00
Elliptic Curves
by Susanne Schmitt ~ Hardback
Available - Usually ships in 3-4 weeks
Theory of Interacting Quantum Fields on Hardback by Alexei L Rebenko
$907.00
Theory of Interacting Quantum Fields
by Alexei L Rebenko ~ Hardback
Available - Usually ships in 3-4 weeks
Polynomial Sequences on Hardback by Francesco Aldo Costabile
$522.00
Polynomial Sequences
by Francesco Aldo Costabile ~ Hardback
Available - Usually ships in 3-4 weeks
Elementary Geometry in Hyperbolic Space on Hardback by Werner Fenchel
$514.00
Elementary Geometry in Hyperbolic Space
by Werner Fenchel ~ Hardback
Available - Usually ships in 3-4 weeks
Markov Processes, Semigroups and Generators on Hardback by Vassili N Kolokoltsov
$736.00
Markov Processes, Semigroups and Generators
by Vassili N Kolokoltsov ~ Hardback
Available - Usually ships in 3-4 weeks

Description

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 for option rewards are applied to a variety of models of multivariate modulated Markov 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 volume 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.

Author Biography:

Dmitrii Silvestrov, Stockholm University, Sweden.
Release date NZ
December 15th, 2014
Audiences
  • Professional & Vocational
  • Professional & Vocational
Illustrations
7 Tables, black and white; color line drawings
Pages
571
ISBN-13
9783110329681
Product ID
22545924

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Explore more by Dmitrii S Silvestrov

See all books by this author

Limit Theorems for Randomly Stopped Stochastic Processes by Dmitrii S Silvestrov
$154.00
Limit Theorems for Randomly Stopped Stochastic Processes
by Dmitrii S Silvestrov ~ Paperback / softback
Available - Usually ships in 3-4 weeks
Quasi-Stationary Phenomena in Nonlinearly Perturbed Stochastic Systems on Hardback by Mats Gyllenberg
$1017.00
Quasi-Stationary Phenomena in Nonlinearly Perturbed Stochastic Systems
by Mats Gyllenberg ~ Hardback
Available - Usually ships in 3-4 weeks
Limit Theorems for Randomly Stopped Stochastic Processes on Hardback by Dmitrii S Silvestrov
$270.00
Limit Theorems for Randomly Stopped Stochastic Processes
by Dmitrii S Silvestrov ~ Hardback
Available - Usually ships in 3-4 weeks

Recommended for you

Recommended from your browsing history

Help & options

Filed under...

Books >
Non-Fiction >
Maths & Science >
Mathematics
Books >
Business & Economics >
Finance & Accounting >
Accounting >
Financial accounting
Books >
Non-Fiction >
Maths & Science >
Mathematics >
Applied mathematics >
Stochastics