Highly Influential

@article{Miao2016ANO, title={A note on the never-early-exercise region of American power exchange options}, author={Daniel Wei-Chung Miao and Xenos Chang-Shuo Lin and Steve Hsin-Ting Yu}, journal={Oper. Res. Lett.}, year={2016}, volume={44}, pages={129-135} }

- Published 2016 in Oper. Res. Lett.
DOI:10.1016/j.orl.2015.12.011

This note discusses how the never-early-exercise region of American power exchange options is influenced by the nonlinearity from its power coefficients.We consider a class ofmodelswhich satisfy the power invariant property and show that early exercise depends crucially on the quantities termed effective dividend yields. Our mathematical analysis extends an… CONTINUE READING

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