Glover, Kristoffer; Peskir, Goran; Samee, Farman - Finance Discipline Group, Business School - 2009
Following the economic rationale of [7] and [8] we present a new class of Asian options where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true...