A lower bound on the value of an infinite American call option on two assets
type: Item
instance of: scholarly article
title: A lower bound on the value of an infinite American call option on two assets
zbMATH Open document ID: 1260.91065
author: V. V. Morozov
author: D. L. Muravei
published in: Computational Mathematics and Modeling
publication date: 2012-12-12T00:00:00Z
Mathematics Subject Classification ID: 91B06
zbMATH DE Number: 6115093
zbMATH Keywords: American option
zbMATH Keywords: geometrical Brownian motion
zbMATH Keywords: first arrival time
zbMATH Keywords: lower bound of option value
MaRDI profile type: Publication
full work available at URL: s10598-012-9120-7
OpenAlex ID: W2027681144
cites work: The Valuation of American Options on Multiple Assets
cites work: Q5447825
DOI: 10.1007/S10598-012-9120-7
description: scientific article; zbMATH DE number 6115093