商品簡介
Silvestrov systematically presents stochastic approximation methods for models of American-type options with general pay-off functions for discrete Markov log-price processes. The discrete-time multivariate modulated processes and functions he considers can depend not only on price but also on an additional stochastic index component with a general phase space. His topics include multivariate modulated Markov log-price processes, backward recurrence reward algorithms, the convergence of option rewards, space-skeleton reward approximations, and the convergence of tree-type reward approximations. The series is for advanced graduate students and researchers in mathematics and theoretical physics. Annotation c2014 Book News, Inc., Portland, OR (booknews.com)
作者簡介
Dmitrii S. Silvestrov, Stockholm University,Sweden.
