The valuation of American call options on the minimum of two dividend-paying assets
成果类型：
Article
署名作者：
Detemple, J; Feng, S; Tian, WD
署名单位：
Boston University; University of Waterloo; McMaster University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2003
页码：
953-983
关键词：
摘要：
This paper examines the valuation of call options on the minimum of two dividend-paying assets. We show that the optimal exercise boundary consists of three components, two continuous curves and one component along the diagonal with empty interior. The option price is shown to satisfy the early exercise premium representation in which the gains from exercise involve the local time of the minimum of the two underlying asset prices. A system of recursive integral equations for the exercise boundary components is derived. Using a class of simple stopping times we also construct lower and upper bounds for the American call min-option price: these are easy to compute and can be employed to design efficient approximations of the contract value.