An upper bound on the value of an infinite American call option on two assets

DOI10.1007/S10598-012-9150-1MaRDI QIDQ1929290zbMATH OpenOpenAlexFDO

Authors V. V. Morozov, K. V. Khizhnyak

Publication date 7 January 2013

Published in Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10598-012-9150-1

zbMATH Keywords

geometrical Brownian motionimmediate exercise settwo-asset American call optionupper bound of option value

Mathematics Subject Classification ID

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

Recommendations

• An upper bound on the value of an infinite American call option on difference and sum of two assets
• A bound on the value of a two-sided Margrabe infinite American option
• A bound on the value of a two-sided Margrabe American option with finite expiration
• A lower bound on the value of an infinite American call option on two assets
• Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset

Cites work

• A lower bound on the value of an infinite American call option on two assets
• Investment decisions under uncertainty and evaluation of American options
• The Valuation of American Options on Multiple Assets

Cited in

(8)

• The valuation of American call options on the minimum of two dividend-paying assets
• A bound on the value of a two-sided Margrabe American option with finite expiration
• A bound on the value of a two-sided Margrabe infinite American option
• Upper Bounds for American Options
• scientific article; zbMATH DE number 5657311 (Why is no real title available?)
• A lower bound on the value of an infinite American call option on two assets
• On the upper bound of a call option
• An upper bound on the value of an infinite American call option on difference and sum of two assets

This page was built for publication: An upper bound on the value of an infinite American call option on two assets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1929290)