A bound on the value of a two-sided Margrabe American option with finite expiration (Q1703523)
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scientific article; zbMATH DE number 6846257
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| default for all languages | No label defined |
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| English | A bound on the value of a two-sided Margrabe American option with finite expiration |
scientific article; zbMATH DE number 6846257 |
Statements
A bound on the value of a two-sided Margrabe American option with finite expiration (English)
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2 March 2018
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Margrabe two-sided American option
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geometrical Brownian motion
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immediate exercise set
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bounds of option value
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Monte Carlo method
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0.9509851336479188
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0.8350022435188293
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0.8288084864616394
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0.7854284048080444
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0.766348659992218
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