Synopsis
Unlock practical, rigorous pricing for American options using a duality approach In this book, you’ll learn how approximate dynamic programming and neural networks can yield tight upper and lower bounds on option prices. The methods are demonstrated with multiple assets and exercise scenarios, showing how theory translates into computable results.
This edition explains how to construct bounds without relying on one fixed algorithm, and it highlights how the duality representation helps assess pricing accuracy. You’ll see how training strategies, sample paths, and low-discrepancy sequences contribute to reliable estimates, even in high-dimensional settings. The text also discusses when and why duality gaps occur, and how to refine approximations to improve pricing quality.
- Learn the dual formulation that underpins American option pricing
- Explore practical algorithms for upper and lower bound estimation
- Understand the role of neural networks and training strategies in price approximation
- See real-number examples with multiple assets and varying exercise horizons
Ideal for quantitative readers who want a transparent, compute-friendly path to pricing American options and understanding the sources of pricing error. This book is suited for researchers and practitioners seeking robust methods that can be paired with other pricing approaches.
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Pricing American Options: A Duality Approach (Classic Reprint)
impression à la demandeVendeur : Forgotten Books, London, Royaume-Uni
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Paperback. Etat : New. Print on Demand. This book introduces a revolutionary method for pricing American options, a type of financial derivative. Traditional methods struggle with the complexity of these options, but this book's innovative approach based on duality theory provides a novel solution. The method hinges on representing the American option price as a solution to a minimization problem, enabling the construction of tight upper and lower bounds on the option's true price. The author illustrates the method's efficiency and accuracy through numerical examples, demonstrating its potential to transform the pricing of American options in practice. This book is an invaluable resource for practitioners and researchers in financial engineering, offering a robust framework for pricing American options and unlocking new possibilities for risk management and investment strategies. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. N° de réf. du vendeur 9781334538827_0
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Pricing American Options A Duality Approach Classic Reprint
Vendeur : PBShop.store US, Wood Dale, IL, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
PAP. Etat : New. New Book. Shipped from UK. Established seller since 2000. N° de réf. du vendeur LW-9781334538827
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Expédition nationale : Etats-Unis
Expédition nationale : Etats-Unis
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Pricing American Options A Duality Approach Classic Reprint
Vendeur : PBShop.store UK, Fairford, GLOS, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
PAP. Etat : New. New Book. Shipped from UK. Established seller since 2000. N° de réf. du vendeur LW-9781334538827
Acheter neuf
EUR 25,20
Expédition à EUR 3,87
Expédition depuis Royaume-Uni vers Etats-Unis
Expédition depuis Royaume-Uni vers Etats-Unis
Quantité disponible : 15 disponible(s)