1 Reward approximations for autoregressive log-price processes (LPP)

Chapters in this book

1. Frontmatter i
2. Preface v
3. Contents ix
4. 1 Reward approximations for autoregressive log-price processes (LPP) 1
5. 2 Reward approximations for autoregressive stochastic volatility LPP 74
6. 3 American-type options for continuous time Markov LPP 157
7. 4 Upper bounds for option rewards for Markov LPP 180
8. 5 Time-skeleton reward approximations for Markov LPP 256
9. 6 Time-space-skeleton reward approximations for Markov LPP 308
10. 7 Convergence of option rewards for continuous time Markov LPP 371
11. 8 Convergence of option rewards for diffusion LPP 427
12. 9 European, knockout, reselling and random pay-off options 456
13. 10 Results of experimental studies 496
14. Bibliographical Remarks 526
15. Bibliography 531
16. Index 549
17. De Gruyter Studies in Mathematics 559