An upper bound on the value of an infinite American call option on two assets

DOI10.1007/S10598-012-9150-1zbMath1258.91210OpenAlexW4236453339MaRDI QIDQ1929290

V. V. Morozov, K. V. Khizhnyak

Publication date: 7 January 2013

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

Full work available at URL: https://doi.org/10.1007/s10598-012-9150-1

zbMATH Keywords

geometrical Brownian motionimmediate exercise setupper bound of option valuetwo-asset American call option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

An upper bound on the value of an infinite American call option on difference and sum of two assets ⋮ A bound on the value of a two-sided Margrabe American option with finite expiration ⋮ A bound on the value of a two-sided Margrabe infinite American option

Cites Work

• A lower 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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