Generalized Analytical Upper Bounds for American Option Prices
推广并改进了Chen和Yeh(2002)在随机利率、随机波动率和跳跃下美式期权的解析上界，推导出更紧的上界，并推广到多资产情形，适用于美式交换期权和最大期权。
Abstract This paper generalizes and tightens Chen and Yeh's (2002) analytical upper bounds for American options under stochastic interest rates, stochastic volatility, and jumps, where American option prices are difficult to compute with accuracy. We first generalize Theorem 1 of Chen and Yeh (2002) and apply it to derive a tighter upper bound for American calls when the interest rate is greater than the dividend yield. Our upper bounds are not only tight, but also converge to accurate American call option prices when the dividend yield or strike price is small or when volatility is large. We then propose a general theorem that can be applied to derive upper bounds for American options whose payoffs depend on several risky assets. As a demonstration, we utilize our general theorem to derive upper bounds for American exchange options and American maximum options on two risky assets.