A lower bound on the value of an infinite American call option on two assets

DOI10.1007/S10598-012-9120-7zbMath1260.91065OpenAlexW2027681144MaRDI QIDQ694312

D. L. Muravei, V. V. Morozov

Publication date: 12 December 2012

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

Full work available at URL: https://doi.org/10.1007/s10598-012-9120-7

zbMATH Keywords

American optiongeometrical Brownian motionfirst arrival timelower bound of option value

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (1)

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

Cites Work

• The Valuation of American Options on Multiple Assets
• Unnamed Item

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