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Pricing Bermudan Options by Forward Improvement Iteration (German, Paperback)
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Pricing Bermudan Options by Forward Improvement Iteration (German, Paperback)
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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.
General
Imprint: |
Sudwestdeutscher Verlag Fur Hochschulschriften AG
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Country of origin: |
United States |
Release date: |
July 2011 |
First published: |
July 2011 |
Authors: |
Lemburg Julian Peter
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Dimensions: |
229 x 152 x 8mm (L x W x T) |
Format: |
Paperback - Trade
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Pages: |
128 |
ISBN-13: |
978-3-8381-2630-2 |
Languages: |
German
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Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
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LSN: |
3-8381-2630-0 |
Barcode: |
9783838126302 |
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