Fr. 89.00

Pricing Bermudan Options by Forward Improvement Iteration

Tedesco · Tascabile

Spedizione di solito entro 2 a 3 settimane (il titolo viene stampato sull'ordine)

Descrizione

Ulteriori informazioni

The object of this book is the presentation, analysis and extension of the Forward Improvement Iteration Algorithm (FII) published 1980 by Albrecht Irle and similar algorithms published 2006 and 2008 by Christian Bender, Anastasia Kolodko, and John Schoenmakers and published 2010 by E. L. Presman, as well as giving adequate applications. The FII algorithm solves problems of optimal stopping in discrete time by giving a lower approximation of the optimal stopping time and a lower bound of the Snell envelope in each iteration step, which converge to the Snell envelope resp. optimal stopping time. The similar algorithms mentioned above introduced additional parameters for the special cases they treated. This book shows that these algorithms can be put together into a single extended FII algorithm, inheriting the additional parameters and results. Furthermore the algorithm is transfered to the Markov case, also inheriting reasonable additional parameters. Some numerical applications and an investigation of the monotone case and some best choice problem, for which already known solutions of some special cases are extended to a general solution, are also given.

Info autore










After studying mathematics and economics, the author delved into his research interest financial mathematics by working on his thesis hereby published as a book. He received a doctor's degree at the Christian-Albrechts-University of Kiel in 2011.

Dettagli sul prodotto

Autori Julian Peter Lemburg
Editore Südwestdeutscher Verlag für Hochschulschriften
 
Lingue Tedesco
Formato Tascabile
Pubblicazione 18.07.2011
 
EAN 9783838126302
ISBN 978-3-8381-2630-2
Pagine 128
Categoria Scienze naturali, medicina, informatica, tecnica > Matematica > Teoria delle probabilità, stocastica, statistica matematica

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