An upper bound on the value of an infinite American call option on two assets (Q1929290)
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scientific article; zbMATH DE number 6122512
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An upper bound on the value of an infinite American call option on two assets |
scientific article; zbMATH DE number 6122512 |
Statements
An upper bound on the value of an infinite American call option on two assets (English)
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7 January 2013
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two-asset American call option
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geometrical Brownian motion
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immediate exercise set
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upper bound of option value
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0.932103157043457
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0.8636558651924133
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0.8288084864616394
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0.8135843276977539
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0.8101968765258789
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