Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset

DOI10.3103/S0278641911030058zbMath1233.91282MaRDI QIDQ763508

K. V. Khizhnyak

Publication date: 12 March 2012

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

zbMATH Keywords

choosing an investment projectimmediate execution setnonexpiring American option calloption on the maximumoption valuing

Mathematics Subject Classification ID

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

Cites Work

• The Pricing of Options and Corporate Liabilities
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• The Valuation of American Options on Multiple Assets
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