Does anybody know about some published materials regarding american stylespreads ? In what instances difference in value with european style spreadis noticeable or substantial ? How to get its exercise boundary ?Anything ?Thanks

thanks, JonI am trying to find what's available already and whether the difference may besignificant before I spend any time on development.Here is what I know. European spread option may be below its intrinsic value(pretty much as European Put), indeed you can (very roughly) think of spreadas combination of call and put with some ficticious strike (if both end up in the money)for two assets. I could experiment with that to get some very appoximate answerto the difference between Amer and Euro spread, but it is way too rough.I am interested in both GBM environment with forwards and OU environmentfor one underlying vs GBM for another. I can set drift term pretty much arbitrarily(well, not really). I want to see if there is real value here in term of the differencebetween american and european spread option value.For European spread there is a bunch of formulae.Thanks again

There was a brief discussion recently here