电邮这篇文章 A Bound on the Value of a Two-Sided Margrabe American Option with Finite Expiration
- 作者: Morozov V.V.1, Khizhnyak K.V.1
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隶属关系:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- 期: 卷 27, 编号 4 (2016)
- 页面: 460-471
- 栏目: Article
- URL: https://journals.rcsi.science/1046-283X/article/view/247538
- DOI: https://doi.org/10.1007/s10598-016-9336-z
- ID: 247538
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详细
An upper bound on the value of a two-sided Margrabe option is obtained from the approximation of the immediate exercise set by polygonal sets using an integral formula. A lower bound is obtained by the Monte Carlo method using the decision rule that follows from this approximation.
作者简介
V. Morozov
Faculty of Computational Mathematics and Cybernetics, Moscow State University
编辑信件的主要联系方式.
Email: vmorosov@mail.ru
俄罗斯联邦, Moscow
K. Khizhnyak
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Email: vmorosov@mail.ru
俄罗斯联邦, Moscow
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