A bound on the value of a two-sided Margrabe American option with finite expiration (Q1703523)
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scientific article; zbMATH DE number 6846257
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A bound on the value of a two-sided Margrabe American option with finite expiration |
scientific article; zbMATH DE number 6846257 |
Statements
A bound on the value of a two-sided Margrabe American option with finite expiration (English)
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2 March 2018
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Margrabe two-sided American option
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geometrical Brownian motion
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immediate exercise set
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bounds of option value
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Monte Carlo method
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