3. Backward recurrence reward algorithms

Chapters in this book

1. Frontmatter i
2. Preface v
3. Contents ix
4. 1. Multivariate modulated Markov log-price processes (LPP) 1
5. 2. American-type options 44
6. 3. Backward recurrence reward algorithms 76
7. 4. Upper bounds for option rewards 115
8. 5. Convergence of option rewards – I 167
9. 6. Convergence of option rewards – II 203
10. 7. Space-skeleton reward approximations 241
11. 8. Convergence of rewards for Markov Gaussian LPP 303
12. 9. Tree-type approximations for Markov Gaussian LPP 357
13. 10. Convergence of tree-type reward approximations 413
14. Bibliographical Remarks 465
15. Bibliography 475
16. Index 501
17. Backmatter 510