A bound on the value of a two-sided Margrabe infinite American option

DOI10.1007/S10598-014-9249-7zbMath1335.91086OpenAlexW2038109128MaRDI QIDQ260326

V. V. Morozov, K. V. Khizhnyak

Publication date: 21 March 2016

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

Full work available at URL: https://doi.org/10.1007/s10598-014-9249-7

zbMATH Keywords

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

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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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