A note on the never-early-exercise region of American power exchange options (Q1785486)
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scientific article; zbMATH DE number 6945451
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A note on the never-early-exercise region of American power exchange options |
scientific article; zbMATH DE number 6945451 |
Statements
A note on the never-early-exercise region of American power exchange options (English)
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28 September 2018
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American option
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power exchange option
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early exercise
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never-early-exercise region
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analytical upper bound
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Geske-Johnson method
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0.7388608455657959
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0.7256198525428772
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0.7185139060020447
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0.7081496715545654
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0.7039673924446106
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