Email this article A Bound on the Value of a Two-Sided Margrabe American Option with Finite Expiration
- Authors: Morozov V.V.1, Khizhnyak K.V.1
-
Affiliations:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- Issue: Vol 27, No 4 (2016)
- Pages: 460-471
- Section: Article
- URL: https://journals.rcsi.science/1046-283X/article/view/247538
- DOI: https://doi.org/10.1007/s10598-016-9336-z
- ID: 247538
Cite item
Open Access
Access granted
Subscription Access
Abstract
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.
About the authors
V. V. Morozov
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Author for correspondence.
Email: vmorosov@mail.ru
Russian Federation, Moscow
K. V. Khizhnyak
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Email: vmorosov@mail.ru
Russian Federation, Moscow
Supplementary files
