In this paper, we shall find the uniquerational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.
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Choi, W., Ahn, S.C. On the option valuation and decomposition of exchange option. Korean J. Comput. & Appl. Math. 9, 575–581 (2002). https://doi.org/10.1007/BF03021563
AMS Mathematics Subject Classification
Key words and phrases
- Exchange option
- value function
- Snell envelope