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

DOI10.1007/S10598-013-9158-1zbMATH Open1326.91028OpenAlexW2081131243MaRDI QIDQ895451FDOQ895451

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

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zbMATH Keywords

geometrical Brownian motionbasket optionimmediate exercise setinfinite Margrabe call optionupper bound of option value

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• The Valuation of American Options on Multiple Assets
• An upper bound on the value of an infinite American call option on two assets
• Title not available (Why is that?)
• Some mathematical results in the pricing of American options

Cited In (2)

• A bound on the value of a two-sided Margrabe infinite American option
• On the upper bound of a call option

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