An upper bound on the value of an infinite American call option on two assets
Tóm tắt
We consider a two-asset call option whose exercise price depends on the acquired asset. An upper bound on the call value is obtained using an integral formula. We show that the option’s immediate exercise set consists of two convex subsets whose boundaries are defined by nondecreasing convex functions with asymptotes. Explicit formulas are derived for the asymptote coefficients; the immediate exercise sets are accordingly approximated by polygonal sets and an upper bound on the value of the option is obtained from an integral formula.
Tài liệu tham khảo
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