A note on the never-early-exercise region of American power exchange options

DOI10.1016/J.ORL.2015.12.011zbMath1408.91223OpenAlexW2218918649MaRDI QIDQ1785486

Steve Hsin-Ting Yu, Xenos Chang-Shuo Lin, Daniel Wei-Chung Miao

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2015.12.011

zbMATH Keywords

early exerciseAmerican optionanalytical upper boundGeske-Johnson methodnever-early-exercise regionpower exchange option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion

Cites Work

• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

This page was built for publication: A note on the never-early-exercise region of American power exchange options