An upper bound on the value of an infinite American call option on two assets (Q1929290)
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scientific article; zbMATH DE number 6122512
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An upper bound on the value of an infinite American call option on two assets |
scientific article; zbMATH DE number 6122512 |
Statements
An upper bound on the value of an infinite American call option on two assets (English)
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7 January 2013
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two-asset American call option
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geometrical Brownian motion
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immediate exercise set
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upper bound of option value
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