An upper bound on the value of an infinite American call option on difference and sum of two assets
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Publication:895451
DOI10.1007/s10598-013-9158-1zbMath1326.91028MaRDI QIDQ895451
V. V. Morozov, K. V. Khizhnyak
Publication date: 3 December 2015
Published in: Computational Mathematics and Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10598-013-9158-1
geometrical Brownian motion; basket option; immediate exercise set; infinite Margrabe call option; upper bound of option value
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Cites Work