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.
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Translated from Prikladnaya Matematika i Informatika, No. 50, 2015, pp. 83–92.
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Morozov, V.V., Khizhnyak, K.V. A Bound on the Value of a Two-Sided Margrabe American Option with Finite Expiration. Comput Math Model 27, 460–471 (2016). https://doi.org/10.1007/s10598-016-9336-z
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DOI: https://doi.org/10.1007/s10598-016-9336-z