9 European, knockout, reselling and random pay-off options
In Chapter 9, we presents results about convergence of option rewards for European, knockout and reselling-type American-type options and American-type options with random pay-off. These models give examples of applications for reward approximation results presented in Chapters 4 – 8. They, also, show new directions for research studies on stochastic approximation methods for American-type options.
In Section 9.1, we describe a scheme of embedding European-type options into the models of American-type options. This makes it possible to apply stochastic approximation methods, developed for American-type options to European-type options.
In Section 9.2, we show, how knockout American-type ...
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