Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset

被引：0
|
作者：
Khizhnyak K.V. [1 ]
机构：
[1] Faculty of Computational Mathematics and Cybernetics, Moscow State University
来源：
Moscow University Computational Mathematics and Cybernetics | 2011年 / 35卷 / 3期
基金：
俄罗斯基础研究基金会;
关键词：
choosing an investment project; immediate execution set; nonexpiring American option call; option on the maximum; option valuing;
D O I：
10.3103/S0278641911030058
中图分类号：
学科分类号：
摘要：
Estimates of a value of a nonexpiring American option on the maximum of two risky assets are given. The upper bound is evaluated by an integral form of an option value. The integration domain is replaced by a wider one, built using several properties of an immediate option exercise set. A lower bound for a value of an nonexpiring American option on the maximum of two risky assets is estimated using a class of solving rules employing linear functions. © 2011 Allerton Press, Inc.
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页码：124 / 132
页数：8
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