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A lower bound on the value of an infinite American call option on two assets

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A lower bound is derived for the value of an option by applying threshold decision rules based on the ratio of the underlying asset values. When the asset volatility ratio is equal to the correlation coefficient, the lower bound is equal to the maximum value obtained by optimizing a function of two variables represented as the sum of a rapidly converging series.

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Authors and Affiliations

  1. Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, Russia

    V. V. Morozov & D. L. Muravei

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  1. V. V. Morozov
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  2. D. L. Muravei
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Correspondence to V. V. Morozov.

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Translated from Prikladnaya Matematika i Informatika, No. 36, pp. 99–106, 2010.

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Morozov, V.V., Muravei, D.L. A lower bound on the value of an infinite American call option on two assets. Comput Math Model 23, 79–87 (2012). https://doi.org/10.1007/s10598-012-9120-7

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  • DOI: https://doi.org/10.1007/s10598-012-9120-7

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