Enviar artigo por via de e-mail A Bound on the Value of a Two-Sided Margrabe American Option with Finite Expiration
- Autores: Morozov V.V.1, Khizhnyak K.V.1
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Afiliações:
- Faculty of Computational Mathematics and Cybernetics, Moscow State University
- Edição: Volume 27, Nº 4 (2016)
- Páginas: 460-471
- Seção: 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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Resumo
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.
Sobre autores
V. Morozov
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Autor responsável pela correspondência
Email: vmorosov@mail.ru
Rússia, Moscow
K. Khizhnyak
Faculty of Computational Mathematics and Cybernetics, Moscow State University
Email: vmorosov@mail.ru
Rússia, Moscow
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