Pricing Bermudan Options by Forward Improvement Iteration - Softcover

Lemburg, Julian Peter

Softcover

ISBN 10: 3838126300 ISBN 13: 9783838126302

Verlag: Südwestdeutscher Verlag für Hochschulschriften, 2011

Über diesen Titel

Reseña del editor:

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.

Biografía del autor:

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.

Über diese Auflage

• Verlag: Südwestdeutscher Verlag für Hochschulschriften
• Erscheinungsdatum: 2011
• ISBN 10: 3838126300
• ISBN 13: 9783838126302
• Einband: Tapa blanda
• Anzahl der Seiten: 128