An upper bound on the value of an infinite American call option on difference and sum of two assets

DOI10.1007/s10598-013-9158-1zbMath1326.91028OpenAlexW2081131243MaRDI QIDQ895451

V. V. Morozov, K. V. Khizhnyak

Publication date: 3 December 2015

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-013-9158-1

zbMATH Keywords

geometrical Brownian motionbasket optionimmediate exercise setinfinite Margrabe call optionupper bound of option value

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Unnamed Item
• An upper bound on the value of an infinite American call option on two assets
• Some mathematical results in the pricing of American options
• The Valuation of American Options on Multiple Assets

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