A bound on the value of a two-sided Margrabe infinite American option (Q260326)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A bound on the value of a two-sided Margrabe infinite American option |
scientific article |
Statements
A bound on the value of a two-sided Margrabe infinite American option (English)
0 references
21 March 2016
0 references
Margrabe infinite two-sided American option
0 references
geometrical Brownian motion
0 references
immediate exercise sets
0 references
bounds of option value
0 references
Monte Carlo method
0 references