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The second volume of this systematical presentation of stochastic approximation methods for models of American-type options 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(s): Dmitrii S. Silvestrov
Series: De Gruyter Studies in Mathematics 57
Publisher: Walter de Gruyter
Year: 2015
Language: English
Pages: xii+559
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