| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054217 | Economic Modelling | 2013 | 7 Pages |
Abstract
⺠We compute upper and lower bounds for convex value functions of derivative contracts. ⺠We provide an alternative interpretation of Laprise et al. (2006) numerical procedure. ⺠We enlarge their findings to include options embedded in bonds. ⺠Our procedure is flexible to accommodate alternative dynamics for the state process. ⺠Our procedure can be extended to higher-dimensional state spaces.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hatem Ben-Ameur, Javier de Frutos, Tarek Fakhfakh, Vacaba Diaby,