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

@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}
}
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