Detemple, Jérôme; Emmerling, Thomas - In: Journal of Economic Dynamics and Control 33 (2009) 1, pp. 128-153
This paper examines the valuation of American chooser options, i.e., American-style contracts written on the maximum of an American put and an American call. The structure of the immediate exercise region is examined. The early exercise premium representation of the chooser's price is derived...