Pricing Bermudan Options by Forward Improvement Iteration

Name: Pricing Bermudan Options by Forward Improvement Iteration
Brand: Sudwestdeutscher Verlag Fur Hochschulschriften AG
SKU: 9783838126302
Price: 1376 CZK
Availability: InStock

Autor: Julian Peter Lemburg

Jazyk:

Vazba: Brožovaná

Vydavatel: Sudwestdeutscher Verlag Fur Hochschulschriften AG

Dostupnost: Skladem u dodavatele

Odesíláme za 8-11 dnů

1 376 Kč

The object of this book is the presentation, analysis and extension of the Forward Improvement Itera...

Informace o knize

Autor

Julian Peter Lemburg

Jazyk

Němčina

Vazba

Kniha - Brožovaná

Vydáno

2011

Stránek

128

EAN

9783838126302

ISBN

3838126300

Enbook ID

06994963

Vydavatel

Sudwestdeutscher Verlag Fur Hochschulschriften AG

Hmotnost

200

Rozměry

152 x 229 x 8

Kompletní popis

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 timeand 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.

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Pricing Bermudan Options by Forward Improvement Iteration

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také