A bound on the value of a two-sided Margrabe infinite American option (Q260326)
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scientific article; zbMATH DE number 6558736
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A bound on the value of a two-sided Margrabe infinite American option |
scientific article; zbMATH DE number 6558736 |
Statements
A bound on the value of a two-sided Margrabe infinite American option (English)
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21 March 2016
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Margrabe infinite two-sided American option
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geometrical Brownian motion
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immediate exercise sets
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bounds of option value
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Monte Carlo method
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0.9732199
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0.9378361
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0.93211997
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0.9202968
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0.88355124
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0.8709357
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