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

DOI10.1016/J.ORL.2015.12.011MaRDI QIDQ1785486zbMATH OpenOpenAlexFDO

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

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

American optionearly exerciseanalytical upper boundGeske-Johnson methodnever-early-exercise regionpower exchange option

Mathematics Subject Classification ID

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

Recommendations

• THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS¹
• American options and the free boundary exercise region: a PDE approach
• Exercise regions of American options on several assets
• Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
• American Options with Lookback Payoff

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Option pricing when underlying stock returns are discontinuous
• The Variance Gamma Process and Option Pricing

Cited in

(2)

• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• On some generalized American style derivatives

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