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

DOI10.1016/J.ORL.2015.12.011zbMATH Open1408.91223OpenAlexW2218918649MaRDI QIDQ1785486FDOQ1785486

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

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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)

Cites Work

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

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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