A lower bound on the value of an infinite American call option on two assets (Q694312)
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scientific article; zbMATH DE number 6115093
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A lower bound on the value of an infinite American call option on two assets |
scientific article; zbMATH DE number 6115093 |
Statements
A lower bound on the value of an infinite American call option on two assets (English)
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12 December 2012
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American option
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geometrical Brownian motion
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first arrival time
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lower bound of option value
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0.8135843276977539
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0.7921317219734192
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0.7738978266716003
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0.7611308097839355
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0.7596127390861511
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