%0 Journal Article
	%A Hsuan-Ku Liu
	%D 2011
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 52, 2011
	%T An Asymptotic Formula for Pricing an American Exchange Option
	%U https://publications.waset.org/pdf/13180
	%V 52
	%X 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.

	%P 603 - 606