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

DOI10.1007/S10598-013-9158-1MaRDI QIDQ895451zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• An upper bound on the value of an infinite American call option on two assets
• Investment decisions under uncertainty and evaluation of American options
• Some mathematical results in the pricing of American options
• The Valuation of American Options on Multiple Assets

Cited in

(6)

• A bound on the value of a two-sided Margrabe infinite American option
• A lower bound on the value of an infinite American call option on two assets
• A bound on the value of a two-sided Margrabe American option with finite expiration
• An upper bound on the value of an infinite American call option on two assets
• Upper Bounds for American Options
• On the upper bound of a call option

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