Upper Bounds for American Options

DOI10.1016/S0196-3821(06)23006-5MaRDI QIDQ3434838zbMATH OpenFDO

Authors Mo Chaudhury

Publication date 3 May 2007

Published in Research in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0196-3821(06)23006-5

zbMATH Keywords

American optionsboundsoption valuation

Mathematics Subject Classification ID

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Cited in

(7)

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• A bound on the value of a two-sided Margrabe infinite American option
• Simple improvement method for upper bound of American option
• Tighter option bounds from multiple exercise prices
• Smooth upper bounds for the price function of American style options
• Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
• On the upper bound of a call option

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