D. L. Muravey, “Using the differential method for building low estimate of the cost of the infinite american option on 2 assets”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2012, Issue 1,Pages <nobr>131

Probabilistic Possibilistic Models

Using the differential method for building low estimate of the cost of the infinite american option on 2 assets

D. L. Muravey

Dubna International University for Nature, Society, and Man, Dubna

Abstract: The problem of finding the low estimate for American dual (alternative) option is investigating. This estimate is the solution of the some boundary value problem for elliptic equation in the infinite strip.

Keywords: differential method, the options estimations, boundary value problem, Green`s function.

UDC: 517.95

Received: 05.02.2012
Revised: 28.02.2012