Valuation of American strangles through an optimized lower-upper bound approach
type: Item
instance of: scholarly article
title: Valuation of American strangles through an optimized lower-upper bound approach
zbMATH Open document ID: 1413.91104
author: Jingtang Ma
author: Wen-Yuan Li
author: Zhenyu Cui
published in: Journal of the Operations Research Society of China
publication date: 2018-08-10T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 6915803
zbMATH Keywords: option pricing
zbMATH Keywords: American strangle
zbMATH Keywords: lower and upper bounds
zbMATH Keywords: early exercise boundaries
zbMATH Keywords: optimization
MaRDI profile type: Publication
full work available at URL: s40305-017-0174-2
OpenAlex ID: W2744296666
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DOI: 10.1007/S40305-017-0174-2
description: scientific article; zbMATH DE number 6915803