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

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

Year of publication:	January 2016
Authors:	Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo ; Yu, Steve Hsin-Ting
Published in:	Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 44.2016, 1, p. 129-135
Subject:	American option \| Power exchange option \| Early exercise \| Never-early-exercise region \| Analytical upper bound \| Geske-Johnson method \| Optionsgeschäft \| Option trading \| Optionspreistheorie \| Option pricing theory

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