An Asymptotic Formula for Pricing an American Exchange Option
Authors: Hsuan-Ku Liu
In this paper, the American exchange option (AEO) valuation problem is modelled as a free boundary problem. The critical stock price for an AEO is satisfied an integral equation implicitly. When the remaining time is large enough, an asymptotic formula is provided for pricing an AEO. The numerical results reveal that our asymptotic pricing formula is robust and accurate for the long-term AEO.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1080638Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1283
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