An upper bound on the value of an infinite American call option on two assets
type: Item
instance of: scholarly article
title: An upper bound on the value of an infinite American call option on two assets
zbMATH Open document ID: 1258.91210
author: V. V. Morozov
author: K. V. Khizhnyak
published in: Computational Mathematics and Modeling
publication date: 2013-01-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6122512
zbMATH Keywords: two-asset American call option
zbMATH Keywords: geometrical Brownian motion
zbMATH Keywords: immediate exercise set
zbMATH Keywords: upper bound of option value
MaRDI profile type: Publication
full work available at URL: s10598-012-9150-1
OpenAlex ID: W4236453339
cites work: The Valuation of American Options on Multiple Assets
cites work: Q5447825
cites work: A lower bound on the value of an infinite American call option on two assets
DOI: 10.1007/S10598-012-9150-1
description: scientific article; zbMATH DE number 6122512