A bound on the value of a two-sided Margrabe American option with finite expiration

DOI10.1007/S10598-016-9336-ZzbMath1386.91145OpenAlexW2485472259MaRDI QIDQ1703523

K. V. Khizhnyak, V. V. Morozov

Publication date: 2 March 2018

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-016-9336-z

zbMATH Keywords

Monte Carlo methodbounds of option valuegeometrical Brownian motionimmediate exercise setMargrabe two-sided American option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• An upper bound on the value of an infinite American call option on two assets
• The Valuation of American Options on Multiple Assets
• Unnamed Item

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