An upper bound on the value of an infinite American call option on difference and sum of two assets (Q895451)
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scientific article; zbMATH DE number 6515857
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| English | An upper bound on the value of an infinite American call option on difference and sum of two assets |
scientific article; zbMATH DE number 6515857 |
Statements
An upper bound on the value of an infinite American call option on difference and sum of two assets (English)
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3 December 2015
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infinite Margrabe call option
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basket 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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0.9001367092132568
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0.8350022435188293
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0.7921317219734192
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0.7845404744148254
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