Silvestrov D.S. American-Type Options. Volume 2: Stochastic Approximation Methods

Boston: Walter de Gruyter, 2015. — 573 p.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.