Valuation of American strangles through an optimized lower-upper bound approach

DOI10.1007/s40305-017-0174-2zbMath1413.91104MaRDI QIDQ1655917

Wen-Yuan Li, Zhen-Yu Cui, Jingtang Ma

Publication date: 10 August 2018

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40305-017-0174-2

zbMATH Keywords

optimization; option pricing; lower and upper bounds; American strangle; early exercise boundaries

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Valuation of American strangle option: variational inequality approach

Cites Work

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