The valuation of American call options on the minimum of two dividend-paying assets (Q1425482)
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scientific article; zbMATH DE number 2061207
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The valuation of American call options on the minimum of two dividend-paying assets |
scientific article; zbMATH DE number 2061207 |
Statements
The valuation of American call options on the minimum of two dividend-paying assets (English)
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21 March 2004
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Option valuation
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calls
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American-style
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minimum of two assets
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dividends
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exercise premium
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local time
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lower and upper bounds
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numerical computation
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0.8019810318946838
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0.7994425892829895
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0.7970788478851318
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0.7814468145370483
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