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On the option valuation and decomposition of exchange option

Abstract

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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Author information

Correspondence to Won Choi.

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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

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AMS Mathematics Subject Classification

  • 60H30
  • 60H20
  • 90A09

Key words and phrases

  • Exchange option
  • value function
  • Snell envelope